EconPapers    
Economics at your fingertips  
 

No-arbitrage restrictions and the U.S. Treasury market

Andrea Ajello, Luca Benzoni and Olena Chyruk

Economic Perspectives, 2012, vol. 36, issue Q II, 55-74

Abstract: What is the role of arbitrage trading in the U.S. Treasury market? In this article, the authors 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 ends with an evaluation of market frictions (for example, transaction costs, leverage constraints, and the limited availability of arbitrage capital) in the government debt market and their implications for bond pricing using no-arbitrage term structure models.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://www.chicagofed.org/digital_assets/publicati ... o_benzoni_chyruk.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedhep:y:2012:i:qii:p:55-74:n:v.36no.2

Ordering information: This journal article can be ordered from

Access Statistics for this article

More articles in Economic Perspectives from Federal Reserve Bank of Chicago Contact information at EDIRC.
Bibliographic data for series maintained by Deng Pan ().

 
Page updated 2022-07-01
Handle: RePEc:fip:fedhep:y:2012:i:qii:p:55-74:n:v.36no.2