منابع مشابه
Y2K Options and the Liquidity Premium in Treasury Markets
Financial institutions around theworld expected themillennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to the concern, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. Using the implied volatilities of Y2K options and the on/off-the-run spre...
متن کاملNews, No-News and Jumps in the US Treasury Market
Sufficiently fast and large disruptions to the continuous price process can be detected in high frequency data as jumps. Cojumping occurs when jumps occur contemporaneously across assets. This paper assesses cojumping in the US term structure using the Cantor-Fitzgerald tick dataset of 2002-2006, and finds that the middle of the curve is more likely to cojump and the ends have greater potential...
متن کاملMean Reversion in the Us Treasury Constant Maturity Rates
The daily structure of the US Treasury Constant Maturity Rates is investigated in this paper by means of fractional integration techniques. Using a version of the tests of Robinson (1994) along with a model selection criterion based on diagnostic tests on the residuals, we show that the behaviour of this series can be captured by I(d) statistical models with the fractional parameter d close to,...
متن کاملThe Union Wage Premium in the US and the UK
This paper presents evidence of both counter-cyclical and secular decline in the union membership wage premium in the US and the UK over the last couple of decades. The premium has fallen for most groups of workers, the main exception being public sector workers in the US. By the beginning of the 21 Century the premium remained substantial in the US but there was no premium for many workers in ...
متن کاملThe Flight - to - Liquidity Premium in U . S . Treasury Bond Prices
But what is crucial about this distinction is that the individuals who were moving from, let’s assume, the illiquid U.S. Treasuries to the liquid on-the-run liquid issues, are basically saying, “I want out. I don’t want to know anything about whether a particular investment is risky or not. I just want to disengage.” And the reason you go into these liquid instruments is that that is the vehicl...
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ژورنال
عنوان ژورنال: Journal of International Economics
سال: 2018
ISSN: 0022-1996
DOI: 10.1016/j.jinteco.2018.01.001