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Preliminary evidence on the impact of budget deficits on the nominal interest rate yield on ten-year US treasury notes after allowing for adoption of monetary policies involving "q...

Cebula, Richard J. - In: Economia internazionale 67 (2014) 2, pp. 181-200

Persistent link: https://www.econbiz.de/10010401117

Least squares learning and the US Treasury bill rate

Mishra, Sagarika; Dhole, Sandip - In: Economic systems 38 (2014) 2, pp. 194-204

Persistent link: https://www.econbiz.de/10010459729

A joint affine model of commodity futures and US Treasury yields

Chin, Michael; Liu, Zhuoshi - 2015

Persistent link: https://www.econbiz.de/10010497510

The absorption effect of US Treasury auctions

Kopchak, Seth J. - In: Review of quantitative finance and accounting 43 (2014) 1, pp. 21-44

Persistent link: https://www.econbiz.de/10010433461

Tips from tips : the informational content of treasury inflation-protected security prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2014

Persistent link: https://www.econbiz.de/10010433466

The US economy, the treasury bond market and the specification of macro-finance models

Spencer, Peter D. - 2013

Persistent link: https://www.econbiz.de/10010411368

US Treasury auction yields during boom, bust, and quantitative easing : role for Fed and foreign purchasers

Mann, Catherine L.; Klachkin, Oren - 2012 - Rev.

Persistent link: https://www.econbiz.de/10009782946

A new perspective on Gaussian dynamic term structure models

Joslin, Scott; Singleton, Kenneth J.; Zhu, Haoxiang - In: The review of financial studies 24 (2011) 3, pp. 926-970

Persistent link: https://www.econbiz.de/10008934088

Tips from TIPS : the informational content of Treasury Inflation-Protected Security prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2008

We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (1%). Key features...

Persistent link: https://www.econbiz.de/10003830152

Monetary policy surprises and the expectations hyothesis at the short of the yield curve

Demarialp, Selva (contributor) - 2008

We test the expectations hypothesis by analyzing changes in three month T-Bill rates (TB3) after FOMC meetings. By estimating the revisions in expectations of future overnight rates, we find a one-to-one relationship between changes in TB3 and path revisions. -- Expectations Hypothesis ; Policy...

Persistent link: https://www.econbiz.de/10003735169