Advanced search
Publication Cover
Cogent Economics & Finance Volume 3, 2015 - Issue 1
Submit an article Journal homepage
2,106
Views
0
CrossRef citations to date
0
Altmetric
Research Article

A contribution to the study of the German treasury bills market

Emanuel R. Leao1 Departament of Political Economy, ISCTE – University Institute of Lisbon and DINAMIA-CET, Avenida das Forcas Armadas, 1649-026Lisboa, Portugal.Correspondence[email protected]
View further author information
&
Sergio C. Lagoa1 Departament of Political Economy, ISCTE – University Institute of Lisbon and DINAMIA-CET, Avenida das Forcas Armadas, 1649-026Lisboa, Portugal.View further author information
|
David McMillan2 University of Stirling, UK.View further author information
(Reviewing Editor)
Article: 1024927 | Received 26 Oct 2014, Accepted 25 Feb 2015, Published online: 24 Mar 2015

References

  • Amihud, Y., & Mendelson, H. (1991). Liquidity, maturity, and the yields on U. S. treasury securities. The Journal of Finance, 46, 1411–1425.
  • Anderson, H. (1997). Transaction costs and nonlinear adjustment towards equilibrium in the US treasury bill market. Oxford Bulletin of Economics and Statistics, 59, 465–484.
  • Balduzzi, P., Elton, E., & Green, T. (2001). Economic news and bond prices: Evidence from the U.S. treasury market. Journal of Financial and Quantitative Analysis, 36, 523–543.
  • Boatler, R. W. (1975). Treasury bill auction procedures: Comment. The Journal of Finance, 30, 895–899.
  • Bolten, S. (1973). Treasury bill auction procedures: An empirical investigation. The Journal of Finance, 28, 577–585.
  • Brimmer, A. (1962). Price determination in the United States treasury bill market. The Review of Economics and Statistics, 44, 178–183.
  • Cammack, E. (1991). Evidence on bidding strategies and the information in treasury bill auctions. Journal of Political Economy, 99, 100–130.
  • Carson, D. (1959). Treasury open market operations. The Review of Economics and Statistics, 41, 438–442.
  • Cook, T., & Hahn, T. (1989). The effect of changes in the federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics, 24, 331–351.
  • Duffee, G. R. (1996). Idiosyncratic variation of treasury bill yields. The Journal of Finance, 51, 527–55.
  • Elder, J. (2001). Can the volatility of the federal funds rate explain premium in treasury bill returns? Journal of Macroeconomics, 23, 73–97.
  • Fleming, M. (2002). Are larger treasury issues more liquid? Evidence from bill reopenings. Journal of Money, Credit and Banking, 34, 707–735.
  • Garbade, K., & Ingber, J. (2005). The treasury auction process: Objectives, structure, and recent adaptations. Current Issues in Economics and Finance series, 11(2), 1–11.
  • Guidolin, M., & Thornton, D. (2008, December). Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates. ECB Working Paper Series, No. 977.
  • Nyborg, K., Rydqvist, K., & Sundaresan, S. (2002). Bidder behavior in multiunit auctions: Evidence from Swedish treasury auctions. Journal of Political Economy, 110, 394–424.
  • Sarno, L., & Thornton, D. (2002, February). The dynamic relationship between the federal funds rate and the treasury bill rate: An empirical investigation. CEPR Discussion Paper, No. 3225.
  • Smith, V. (1996). Bidding theory and the treasury bill auction: Does price discrimination increase bill prices? The Review of Economics and Statistics, 48, 141–146.
  • Wingender, A. (2011). Monetary policy shocks and risk premia in the interbank market. The B.E. Journal of Macroeconomics, 11, 1–19.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.