Increasing liquidity and the declining informational content of the paper-bill spread
Article Abstract:
The potential of the paper-bill spread to foresee business cycle changes dwindled in the 1980s as liquidity of commercial paper increased. The latter incited investors to consider paper as an approximate alternative for Treasury bills. Consequently, shocks to the paper and bill markets did not significantly affect the paper-bill spread but were actually incorporated by proportional yield alterations in both markets. This findings veer away from explanations that attribute the predictive decline to market contractions and to changes in paper and bill supplies unrelated to business conditions.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1998
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Liquidity of the Treasury bill market and the term structure of interest rates
Article Abstract:
Variations in liquidity account for a significant portion of the term premium and are appraised through yields in Treasury bills. Moreover, it likewise appears that risks are evaluated apart from Treasury bill yields, as risk premiums are sometimes not included in the term structure. Investors are always wary of assets liquidity, which is infused to the market at an appraisal represented by the bid-ask spread. Liquidity is the readiness of assets to be converted to money or other holdings.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
Liquidity of the Treasury bill market and the term structure of interest rates
Article Abstract:
Variations in liquidity account for a significant portion of the term premium and are appraised through yields in Treasury bills. Moreover, it likewise appears that risks are evaluated apart from Treasury bill yields, as risk premiums are sometimes not included in the term structure. Investors are always wary of assets liquidity, which is infused to the market at an appraisal represented by the bid-ask spread. Liquidity is the readiness of assets to be converted to money or other holdings.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
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