search query: @author Liu, P. / total: 7
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Author: | Nippani, S. Liu, P. Schulman, C. T. |
Title: | Are Treasury Securities Free of Default? |
Journal: | Journal of Financial and Quantitative Analysis
2001 : JUN, VOL. 36:2, p. 251-266 |
Index terms: | SECURITY SECURITIES TREASURY BILLS REVIEWS ANALYTICAL REVIEW |
Language: | eng |
Abstract: | The chain of events that led to the disagreement between the White House and Congress over the increase of the federal debt limit from mid-October 1995 to March 1996 caused a default potential for Treasury securities. The authors examine the effect of this event chain on the yield spread between commercial paper and Treasury bills and find that both the three-and six-month yield spreads were reduced during the event period. The results suggest that the market charged a default risk premium to the Treasury securities. There is no evidence that these events had a sustained effect on T-bill rates since the yield spread during the post-event period resumed its pre-event level. |
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