D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - 2013
of all the outstanding U.S. Treasury securities. Our results indicate the existence of an economically and statistically … significant scarcity premium, especially for shorter-term securities. The estimated scarcity effect is quite persistent, seems to … be reflected in the Treasury market prices, and could in part explain the flow-effects of the Fed's asset purchase …