A Cointegration Analysis of Treasury Bill Yields

Treasury Bill Yields : Overlooked Information ∗

Suppose a risk premium factor denotes the time-varying market prices of risk in the Treasury bond market. The question is whether the risk premium factor affects bond prices. Equivalently, we may ask whether the factor is spanned by the crosssection of term structure. This paper finds that the factor is almost but not completely hidden from term structure. Particularly, Treasury bill yields are...

Treasury yields and corporate bond yield spreads: An empirical analysis

This paper empirically examines the relation between the Treasury term structure and spreads of investment grade corporate bond yields over Treasuries. I nd that noncallable bond yield spreads fall when the level of the Treasury term structure rises. The extent of this decline depends on the initial credit quality of the bond; the decline is small for Aaarated bonds and large for Baa-rated bond...

The Effect of Auctions on Daily Treasury-bill Volatility

We investigate the Treasury bill (T-bill) market for volatility effects, and especially any volatility introduced by the T-bill auction process. We use daily T-bill yields for on-therun 13-, 26-, and 52-week T-bills from January 1983 through December 2000. We find that T-bill volatility is not constant across a run, hence is not consistent with the Treasury's auction process intent of a stable ...

Expectations and the Behaviour of Spanish Treasury Bill Rates

Do Bidders in Canadian Treasury Bill Auctions Have Private Values?∗

We exploit a unique feature of data from Canadian treasury bill auctions, in which some bidders have information about rivals’ bids, to develop a test if values are private. Information about a rival’s bid causes a bidder to bid differently when she has a private value than when her value depends on rivals’ information. In a divisible good setting, such as treasury bill auctions, bidders with p...