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Working Paper
Idiosyncratic variation of Treasury bill yields
Duffee, Gregory R. (1994)
Finance and Economics Discussion Series , Paper 94-28

Working Paper
Macroeconomic risk and Treasury bill pricing: an application of the FACTOR-ARCH model
Sill, Keith (1995)
Working Papers , Paper 93-25/R

Journal Article
Single-price Treasury auction experiment continues
Thompson, Stephen (1993-01)
Financial Update , Issue Jan , Pages 10

Report
The term structure of announcement effects
Remolona, Eli M.; Fleming, Michael J. (1999)
We analyze high-frequency responses of U.S. Treasury yields across the maturity spectrum to macroeconomic announcements. We find that surprises in the announcements evoke the sharpest reactions from the intermediate maturities, thus forming striking hump-shaped curves of announcement effects. We then fit an affine-yield model to the yield changes using the announcement surprises as GMM instruments. The model estimates imply that the announcements elicit larger shocks to an expected future target interest rate than to the current short-term interest rate and that different types of ...
Staff Reports , Paper 76

Journal Article
Measuring treasury market liquidity
Fleming, Michael J. (2003-09)
This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. Securities liquidity is important to those who transact in markets, those who monitor market conditions, and those who analyze market developments. This article estimates and evaluates a comprehensive set of liquidity measures for the U.S. Treasury securities market. The author finds that the commonly used bid-ask ...
Economic Policy Review , Issue Sep , Pages 83-108

Journal Article
Assessing the Costs of Rolling Over Government Debt
Kozlowski, Julian; Jordan-Wood, Samuel (2023-06-02)
The US government has $21.4 trillion in outstanding Treasury debt in bills, notes, and bonds. Given the federal funds rate is up 4-5% over the past year, how expensive will it be to roll over maturing Treasury debt at these higher rates?
Economic Synopses , Issue 13 , Pages 4 pages

Journal Article
The yield curve as a predictor of U.S. recessions
Estrella, Arturo; Mishkin, Frederic S. (1996-06)
The yield curve--specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill--is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.
Current Issues in Economics and Finance , Volume 2 , Issue Jun

Working Paper
Underpricing of seasoned issues: the case of U.S. Treasury bills
Spindt, Paul A.; Stolz, Richard W. (1989)
Finance and Economics Discussion Series , Paper 54

Monograph
Instruments of the money market
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

Journal Article
Flight to safety and U.S. Treasury securities
Sengupta, Rajdeep; Noeth, Bryan J. (2010-07)
As in most crises, investors turned to Treasuries in droves over the past couple of years, even as yields declined.
The Regional Economist , Issue Jul , Pages 18-19

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