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What is the role of arbitrage trading in the U.S. Treasury market? We discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article continues with an evaluation of market...
Persistent link: https://www.econbiz.de/10013103717
What is the role of arbitrage trading in the U.S. Treasury market? We discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article continues with an evaluation of market...
Persistent link: https://www.econbiz.de/10013106874
Persistent link: https://www.econbiz.de/10012249751
This note proposes a new index that can be used to gauge broad financial conditions and assess how these conditions are related to future economic growth. The index is broadly consistent with how the FRB/US model generally relates key financial variables to economic activity
Persistent link: https://www.econbiz.de/10014346840
Persistent link: https://www.econbiz.de/10012389092
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...
Persistent link: https://www.econbiz.de/10010292171
Persistent link: https://www.econbiz.de/10001615265
We examine the long-term return performance of U.S. IPOs underwritten by relationship banks. We show that, over one- to three-year horizons, IPOs managed by relationship banks experience buy-and-hold benchmark-adjusted returns that are similar to those observed for a matching sample of stocks...
Persistent link: https://www.econbiz.de/10013156835
As the debt ceiling episode unfolds, we highlight a sharp increase in trading activity and liquidity in the U.S. credit default swaps (CDS) market, as well as a spike in U.S. CDS premiums. Compared with the periods leading up to the 2011 and 2013 debt ceiling episodes, we show that elevated CDS...
Persistent link: https://www.econbiz.de/10014355266
Persistent link: https://www.econbiz.de/10003992780