The US Treasury floating rate note puzzle: Is there a premium for mark-to-market stability?
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DOI: 10.1016/j.jfineco.2020.04.006
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Cited by:
- Ahn, Jungkyu & Ahn, Yongkil, 2022. "Demystifying the US Treasury floating rate note puzzle: A swap market perspective," Finance Research Letters, Elsevier, vol. 50(C).
- Lewis, Kurt F. & Longstaff, Francis A. & Petrasek, Lubomir, 2021. "Asset mispricing," Journal of Financial Economics, Elsevier, vol. 141(3), pages 981-1006.
- Ahn, Yongkil, 2024. "Flight to safety, intermediation frictions, and US Treasury floating rate note prices," Finance Research Letters, Elsevier, vol. 60(C).
- Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
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More about this item
Keywords
Treasury floating rate notes; Mark-to-market stability; Asset pricing premia; Convenience yield; Money market funds;All these keywords.
JEL classification:
- E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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