haku: @indexterm Treasury bills / yhteensä: 46
viite: 6 / 46
Tekijä: | Nippani, S. Liu, P. Schulman, C. T. |
Otsikko: | Are Treasury Securities Free of Default? |
Lehti: | Journal of Financial and Quantitative Analysis
2001 : JUN, VOL. 36:2, p. 251-266 |
Asiasana: | SECURITY SECURITIES TREASURY BILLS REVIEWS ANALYTICAL REVIEW |
Kieli: | eng |
Tiivistelmä: | 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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