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Arbitrage-free models of stocks and bonds
Durham, J. Benson - 2013
the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …
Persistent link: https://www.econbiz.de/10010222892
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Managing the Treasury yield curve in the 1940s
Garbade, Kenneth D. - 2020
This paper examines the efforts of the Federal Open Market Committee (FOMC) to first control, and later decontrol, the level and shape of the Treasury yield curve in the 1940s. The paper begins with a brief review of monetary policy in 1938 and a description of the period between September 1939...
Persistent link: https://www.econbiz.de/10012161524
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Fragility of safe asset markets
Eisenbach, Thomas M.; Phelan, Gregory - 2022
We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that liquidity investors' strategic interaction harbors...
Persistent link: https://www.econbiz.de/10013336346
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No good deals - no bad models
Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012
investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá …
Persistent link: https://www.econbiz.de/10009679505
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Price formation and liquidity in the US treasury market : evidence from intraday patterns around annoucements
Fleming, Michael J.; Remolona, Eli M. - 1997
Persistent link: https://www.econbiz.de/10000980783
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Heat waves, meteor showers, and trading volume : an analysis of volatility in the US treasury market
Fleming, Michael J.; López, José A. - 1999
Persistent link: https://www.econbiz.de/10001404065
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Tick size change and market quality in the U.S. treasury market
Fleming, Michael J.; Nguyen, Giang H.; Ruela, Francisco - 2019
This paper studies a recent tick size reduction in the U.S. Treasury securities market and identifies its effects on the market's liquidity and price efficiency. Employing difference-indifference regressions, we find that the bid-ask spread narrows significantly after the change, even for large...
Persistent link: https://www.econbiz.de/10012000042
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Beyond thirty : treasury issuance of long-term bonds from 1953 to 1965
Garbade, Kenneth D. - 2017
Ever since the emergence of regular and predictable issuance of coupon-bearing Treasury debt in the 1970s, thirty years has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years. Seven such bonds, including one with a forty-year term,...
Persistent link: https://www.econbiz.de/10011586602
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Intermediaries as information aggregators : an application to US treasury auctions
Boyarchenko, Nina; Lucca, David O.; Veldkamp, Laura - 2015
According to most theories of financial intermediation, intermediaries diversify risk, transform maturity or liquidity … policy risk. Yet most end investors place their Treasury auction bids through an intermediary rather than submit them …
Persistent link: https://www.econbiz.de/10010509061
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The first debt ceiling crisis
Garbade, Kenneth D. - 2016
In the second half of 1953 the United States, for the first time, risked exceeding the statutory limit on Treasury debt. This paper describes how Congress, the White House, and Treasury officials dealt with the looming crisis - by deferring and reducing expenditures, monetizing "free" gold that...
Persistent link: https://www.econbiz.de/10011496869