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.
File(s): File format is application/pdf http://www.chicagofed.org/digital_assets/publications/economic_perspectives/2001/4qepart2.pdf
Provider: Federal Reserve Bank of Chicago
Part of Series: Economic Perspectives
Publication Date: 2001
Issue: Q IV