Federal Reserve Bank of Chicago
Liquidity effects in the bond market
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.
Cite this item
Boyan Jovanovic & Peter L. Rousseau, "Liquidity effects in the bond market"
, Federal Reserve Bank of Chicago, Economic Perspectives, issue Q IV, pages 17-35, 2001.
Keywords: Liquidity (Economics) ; Treasury bonds ; Treasury bills ; Treasury notes
This item with handle RePEc:fip:fedhep:y:2001:i:qiv:p:17-35:n:v.25no.4
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