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http://hdl.handle.net/10071/5154
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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
DINAMIA_2012_14
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
URI: http://hdl.handle.net/10071/5154
Appears in Collections:DINÂMIA'CET-WP - Working papers com arbitragem científica

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