Efficiency of the Secondary T-Bill Market

Zdeněk Dvorný

Prague Economic Papers, 2004, vol. 2004, issue 1, 17-25

Abstract: The article analyzes efficiency of the Czech treasury T-bill market and the interbank deposit market over period 1993 to 1999. An efficient market-expectation hypothesis and alternative preferred habitat hypothesis were selected to compare both the markets and to determine the extent to which they are affected by macroeconomic fundamentals. The results reveal that the treasury T-bill market is more effective compared to the interbank deposit market. This founding has strong implication in the sence that only the treasury market over the given period is appropriate to be empirically investigated.

Keywords: treasury bill; interbank deposit market; efficiency; term structure hypotheses (search for similar items in EconPapers)
JEL-codes: C22 E43 E44 G14 (search for similar items in EconPapers)
Date: 2004
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DOI: 10.18267/j.pep.228

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