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Repo rate patterns for new Treasury notes

Frank M. Keane

Current Issues in Economics and Finance, 1996, issue sep

Abstract: Despite the enormous popularity of the market for repurchase agreements, the behavior of interest rates on \\"repo\\" transactions is not well understood. An analysis of new data for 1992-95 reveals that repo rates on recently issued Treasury notes rise and fall in a regular pattern as the Treasury auction cycle progresses.

Keywords: Government securities; Treasury notes (search for similar items in EconPapers)
Date: 1996
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