Skip navigation
User training | Reference and search service

Library catalog

Content aggregators
Please use this identifier to cite or link to this item:

Title: On the Price of German Treasury Bills
Authors: Leão, E.
Lagoa, S.
Keywords: Treasury bills
Interest rates
Monetary policy
Interbank loans market
Issue Date: 18-Jun-2013
Series/Report no.: Working Papers
Abstract: In this paper, we examine the primary and secondary markets for German treasury bills. We look in great detail at the rationale behind banks’ decisions concerning the yield they require to be willing to buy treasury bills in the primary market; and we also mention the reasoning behind household and nonbank firm decisions concerning the price they are willing to pay to buy these bills in the secondary market. We use data from real world tenders to show that the bids set by banks conform to what our theoretical framework would predict. In particular, we show that current monetary policy and the markets’ expectations regarding its future path can be used to define a range where the banks bids lie.
Peer reviewed: Sim
Appears in Collections:DINÂMIA'CET-WP - Working papers com arbitragem científica

Files in This Item:
File Description SizeFormat 
DINAMIA_WP_2012-14.pdf504.76 kBAdobe PDFView/Open

FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Currículo DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.