Article1991

Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills

54 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Banking stability, regulation, efficiency Credit Risk and Financial Regulations

Abstract

This paper examines cash management bill announcements in an event study framework and finds that segmentation in the Treasury bill market is widespread and not limited to bills maturing across month-ends. Announcements of cash management bills, which represent unexpected additional supplies of outstanding Treasury bills, cause the yields on these bills to rise significantly relative to yields on adjacent maturity bills. This paper also finds, consistent with other studies, that segmentation is greater at the short end of the bill market.

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2016Do Large Deficits Produce High Interest Rates 1987Interest Rates and Expected Future Budget Deficits in the United States 1986New Evidence on Deficits and Interest Rates 1982Government financing decisions and asset returns 1983Long- and short-term interest rates in a risky world 1983Federal Borrowing and Short Term Interest Rates 1983Real Interest, Money Surprises, Anticipated Inflation and Fiscal Deficits 1987The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market

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