Liquidity effects in the bond market

Boyan Jovanovic () and Peter Rousseau

Economic Perspectives, 2001, vol. 25, issue Q IV, 17-35

Abstract: The authors find that supply risk in the market for Treasury bills adds between 10 basis points and 40 basis points to the standard deviation of the T-bill interest rate. The risk will probably increase unless the Fed expands the set of assets that it uses to conduct open market operations.

Keywords: Liquidity (Economics); Treasury bonds; Treasury bills; Treasury notes (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Liquidity Effects in the Bond Market (2001)
Working Paper: Liquidity Effects in the Bond Market (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedhep:y:2001:i:qiv:p:17-35:n:v.25no.4

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