Journal Article

Liquidity effects in the bond market


Abstract: The authors find that supply risk in the market for Treasury bills adds between 10 basis points and 40 basis points to the standard deviation of the T-bill interest rate. The risk will probably increase unless the Fed expands the set of assets that it uses to conduct open market operations.

Keywords: Liquidity (Economics); Treasury bonds; Treasury bills; Treasury notes;

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Bibliographic Information

Provider: Federal Reserve Bank of Chicago

Part of Series: Economic Perspectives

Publication Date: 2001

Volume: 25

Issue: Q IV

Pages: 17-35