Journal of Finance Vol. 51 No. 2 1996
Idiosyncratic Variation of Treasury Bill Yields.
Abstract
The author documents a dramatic increase in the importance of two types of variation in Treasury bill yields beginning in the early 1980s. The first is idiosyncratic variation in individual short-maturity (less than three months) bill yields. The second is a common component in Treasury bill yields that is not shared by yields on other instruments, such as short-maturity privately issued instruments or longer-maturity Treasury notes and bonds. Some evidence suggests the first type reflects increased market segmentation. These results have important implications for the calibration and testing of no-arbitrage term structure models and interpreting tests of the expectations hypothesis.
- Volume
- 51
- Issue
- 2
- Pages
- 527-51
- Sources
- bibtex:phds-export.bib