I study the relationship between two old bond topics: The Government bond dealer and new-seasoned bond spreads. I establish empirical support for the Gaines (1962) 'amplification hypothesis' that changes in net positions have a causal effect on the spreads offered by primary dealers: net...

There has never been a thorough analysis of Treasury spline errors. All that is known is the consequence of assumption. Measurement without theory ruffles the waters surrounding theories of liquidity risk in Treasury markets. A central question posited by this paper is: Is the on-off spread...

This brief note builds on Sabol (2015) by describing ways to account for forecasting errors made about the expected path of short-term interest rates in a model of expected bond returns. I consider the Cieslak and Povala (2014) model of monetary policy expectations frictions as one such measure...

Expected returns are what we expect to earn over the next year if we choose to invest today. The expected return is not plucked out of thin air, but is modeled by our hero: The Econometrician. In scholastic seminars, he explains how to interpret expected bond returns, and in client emails, the...