Y2K options and the liquidity premium in Treasury bond markets
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Cited by:
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012.
"The Aggregate Demand for Treasury Debt,"
Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 233-267.
- Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2008. "The Aggregate Demand for Treasury Debt," 2008 Meeting Papers 713, Society for Economic Dynamics.
- McAndrews, James & Sarkar, Asani & Wang, Zhenyu, 2017.
"The effect of the term auction facility on the London interbank offered rate,"
Journal of Banking & Finance, Elsevier, vol. 83(C), pages 135-152.
- James J. McAndrews & Asani Sarkar & Zhenyu Wang, 2008. "The effect of the Term Auction Facility on the London inter-bank offered rate," Staff Reports 335, Federal Reserve Bank of New York.
- Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
- Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2007. "The Demand for Treasury Debt," NBER Working Papers 12881, National Bureau of Economic Research, Inc.
- Huang, Jennifer & Wang, Jiang, 2010.
"Market liquidity, asset prices, and welfare,"
Journal of Financial Economics, Elsevier, vol. 95(1), pages 107-127, January.
- Jennifer Huang & Jiang Wang, 2008. "Market Liquidity, Asset Prices and Welfare," NBER Working Papers 14058, National Bureau of Economic Research, Inc.
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More about this item
Keywords
options; Liquidity (Economics); Federal Reserve Bank of New York; Government securities;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2006-11-25 (Market Microstructure)
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