Testing of the expectation hypothesis (EH) for very short interest rates has provided mixed results. My paper seeks to reconcile conflicting evidence on the EH for the US repo market by exploiting the fact that repo rates are affected by the demand/supply of bonds provided as collateral against...

Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper documents the existence of an asymmetric relationship between market liquidity and trading imbalances: when quoted spreads rise (fall) and liquidity falls (increases) buy (sell)...

The issuing policy of the U.S. Treasury allows us to unambiguously isolate maturity-dependent liquidity premia in the Treasury market. We determine and analyze three term structures of liquidity premia obtained from observed yields of coupon STRIPS, observed yields of principal STRIPS, and...

Testing of the expectation hypothesis (EH) for very short interest rates has provided mixed results. My paper seeks to reconcile conflicting evidence on the EH for the US repo market by exploiting the fact that repo rates are affected by the demand/supply of bonds provided as collateral against...

What is the role of arbitrage trading in the U.S. Treasury market? We discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article continues with an evaluation of market...

What is the role of arbitrage trading in the U.S. Treasury market? We discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article continues with an evaluation of market...

Theoretical studies show that shocks to funding constraints should affect and be af-fected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...

Theoretical studies show that shocks to funding constraints should affect and be affected by market illiquidity. However, little is known about the empirical magnitude of such responses because of the intrinsic endogeneity of illiquidity shocks. This paper adopts an identification technique...