Liquidity of the Treasury Bill Market and the Term Structure of Interest Rates PDF Download

Author: Pu Shen
Publisher:
ISBN:
Category : Government securities
Languages : en
Pages : 88

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Author: Pu Shen
Publisher:
ISBN:
Category :
Languages : en
Pages : 20

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Author: BRIAN G. CHOW AND DAVID J. BROPHY
Publisher:
ISBN:
Category :
Languages : en
Pages : 24

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Author: Lance Alexander Fisher
Publisher:
ISBN:
Category :
Languages : en
Pages : 392

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Author: Mr.Obert Nyawata
Publisher: International Monetary Fund
ISBN: 1463959370
Category : Business & Economics
Languages : en
Pages : 39

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This paper discusses the challenging question of whether central banks should use treasury bills or central bank bills for draining excess liquidity in the banking system. While recognizing that there are practical reasons for using central bank bills, the paper argues that treasury bills are the first best option especially because positive externalities for the financial sector and the rest of the economy. However, the main considerations in the choice should be: (i) operational independence for the central bank; (ii) market development; and (iii) the strengthening of the transmission of monetary policy impulses.

Author: Ruslan Goyenko
Publisher:
ISBN:
Category :
Languages : en
Pages : 39

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Previous studies of Treasury market illiquidity span short time-periods and focus on particular maturities. In contrast, we study the joint time-series of illiquidity for different maturities over an extended time sample. We also compare time series determinants of on-the-run and off-the-run illiquidity. Illiquidity increases and the difference between spreads of long- and short-term bonds significantly widens during recessions, suggesting a quot;flight to liquidityquot; phenomenon wherein investors shift into the more liquid short-term bonds during economic contractions. We also document that macroeconomic variables such as inflation and federal fund rates forecast off-the-run illiquidity significantly but have only modest forecasting ability for on-the-run illiquidity. Bond returns across all maturities are forecastable by off-the-run short-term illiquidity but not by illiquidity of other maturities or by on-the-run bond illiquidity. Thus, short-term off-the-run liquidity, by reflecting macro shocks first, is the primary source of the liquidity premium in the Treasury bond market.

Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96

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Author: Edward J. Geng
Publisher:
ISBN:
Category : Debts, Public
Languages : en
Pages : 286

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Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132

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Author: Stefania D'Amico
Publisher: DIANE Publishing
ISBN: 1437941648
Category : Business & Economics
Languages : en
Pages : 40

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Book Description
This is a print on demand edition of a hard to find publication. Using a panel of daily CUSIP-level data, the authors study the effects of the Federal Reserve¿s program to purchase $300 billion of U.S. Treasury coupon securities announced and implemented during 2009. The authors find that each purchase operation, on average, caused a decline in yields in the sector purchased of 3.5 basis points on the days when these purchases occurred (the ¿flow effect¿ of the program). In addition, the program as a whole resulted in a persistent downward shift in the yield curve of as much as 50 basis points (the ¿stock effect¿), with the largest impact in the 10- to 15-year sector. The coefficient patterns generally support a view of segmentation or imperfect substitution within the Treasury market. Charts and tables.