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A Search-Based Theory of the On-the-Run Phenomenon

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Author Info
Pierre-Olivier Weill
Dimitri Vayanos () (Finance New York University)

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Abstract

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File URL: http://repec.org/sed2005/up.5268.1107193203.pdf
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Paper provided by Society for Economic Dynamics in its series 2005 Meeting Papers with number 701.

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Date of creation: 2005
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Handle: RePEc:red:sed005:701

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Related research
Keywords: Treasury Market Liquidity Search

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Find related papers by JEL classification:
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
C78 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Bargaining Theory; Matching Theory

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    Other versions:
  2. Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-25, September. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Staff Report 375, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  2. Bruce Mizrach & Christopher J. Neely, 2006. "Price discovery in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
  3. Ricardo Lagos & Guillaume Rocheteau, 2008. "Liquidity in asset markets with search frictions," Staff Report 408, Federal Reserve Bank of Minneapolis. [Downloadable!]
  4. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2008. "Crashes and Recoveries in Illiquid Markets," NBER Working Papers 14119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis. [Downloadable!]
  6. Kajuth, Florian & Watzka, Sebastian, 2008. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics 4858, University of Munich, Department of Economics. [Downloadable!]
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