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Title: A contribution to the study of the German treasury bills market
Authors: Leão, E. R.
Lagoa, S. C.
Keywords: Treasury bills
Interest rates
Monetary policy
Interbank loans market
Issue Date: 2015
Publisher: Cogent OA/Taylor and Francis Group
Abstract: We study the yields in the German treasury bills market. We take a detailed look at the yield banks require to buy treasury bills in the primary market, and we also examine the yield households and nonbank firms demand to buy these bills in the secondary market. We use data from real world tenders to show that the bids set by banks are in accordance with the predictions of our theoretical framework. In particular, we show that current monetary policy and the market's expectations regarding the future path of monetary policy can be used to define an interval in which the bids from banks lie. Our theoretical predictions for the secondary market also match the data.
Peer reviewed: yes
DOI: 10.1080/23322039.2015.1024927
ISSN: 2332-2039
Accession number: WOS:000218475500017
Appears in Collections:DINÂMIA'CET-RI - Artigo em revista científica internacional com arbitragem científica

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