Flight to safety, intermediation frictions, and US Treasury floating rate note prices

Yongkil Ahn

Finance Research Letters, 2024, vol. 60, issue C

Abstract: While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.

Keywords: Flight to safety; Intermediation friction; Floating rate note (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301245x

DOI: 10.1016/j.frl.2023.104873

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