Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A. - In: Review of Derivatives Research 7 (2004) 2, pp. 79-97
The convenience yield differential between on- and off-the-run Treasury securities with identical maturities has two components. A non-cyclical component may arise due to the higher illiquidity of off-the-run bonds. Also, trading in the market for the next issue often causes cyclical shortages...
