Detalhes do Documento

On the Price of German Treasury Bills

Data: 2013

Identificador Persistente: http://hdl.handle.net/10071/5154

Origem: Repositório do ISCTE-IUL

Assunto(s): Treasury bills,; interest rates,; monetary policy,; interbank loans market

Descrição
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.

Tipo de Documento Research paper
Idioma Inglês