Are Treasury Securities Free of Default?
The chain of events that led to the disagreement between the White House and Congrees over the increase of the federal debt limit from mid-October 1995 to March 1996 caused a default potential for Treasury securities. We examine the effect of this event chain on the yield spread between commercial paper and Treasury bills and find that both the three-and six-month yield spreads were reduced during the event period. The results suggest that the market charged a default risk premium to the Treasury securities. There is no evidence that these events had a sustained effect on T-bill rates since the yield spread during the post-event period resumed its pre-event level.
Year of publication: |
2001
|
---|---|
Authors: | Nippani, Srinivas ; Liu, Pu ; Schulman, Craig T. |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 36.2001, 02, p. 251-265
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
Saved in:
Saved in favorites
Similar items by person
-
Are treasury securities free of default?
Nippani, Srinivas, (2001)
-
Are Treasury Securities Free of Default?
Nippani, Srinivas, (2001)
-
The "reverse" weekend effect : the US market versus international markets
Brusa, Jorge, (2003)
- More ...