Financial Market Responses to Treasury Debt Announcements: A Note

David C Schirm, Richard Sheehan and Michael G Ferri

Journal of Money, Credit and Banking, 1989, vol. 21, issue 3, 394-400

Abstract: This paper considers the effect of U.S. Treasury debt announcements on interest rates from 1982-85. The analysis measures the announcement's expected component in two ways: the reported market "expected" announcements from the credit markets column of the Wall Street Journal just prior to the announcements, and time series techniques. Rate response to regular announcements of all maturity classes of Treasury debt appear negligible, reflecting the Treasury's ongoing efforts to keep the market informed of future financing needs. However, announcements of cash management bills, an irregular and residual category of Treasury debt, generate significant market responses. Copyright 1989 by Ohio State University Press.

Date: 1989
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:21:y:1989:i:3:p:394-400

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