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Idiosyncratic variation of Treasury bill yields

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  • Gregory R. Duffee

Abstract

The author documents a dramatic increase in the importance of two types of variation in Treasury bill yields beginning in the early 1980s. The first is idiosyncratic variation in individual short-maturity (less than three months) bill yields. The second is a common component in Treasury bill yields that is not shared by yields on other instruments, such as short-maturity privately issued instruments or longer-maturity Treasury notes and bonds. Some evidence suggests the first type reflects increased market segmentation. These results have important implications for the calibration and testing of no-arbitrage term structure models and interpreting tests of the expectations hypothesis. Copyright 1996 by American Finance Association.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Gregory R. Duffee, 1994. "Idiosyncratic variation of Treasury bill yields," Finance and Economics Discussion Series 94-28, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfe:94-28
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    Keywords

    Treasury bills;

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