Tag Info

Hot answers tagged

3

First of all Fed traders do not necessarily buy from primary dealers. In fact Fed buys most treasuries in the secondary market and that can include sell-side investment banks or even large fund houses that may not have primary dealer status. Keeping this in mind, essentially anyone who has large chunks of treasuries to sell which the Fed might be fond of ...


3

There are tons of quant related blogs out there, some of which contain relatively sophisticated content, others less so. Have a look at the following, which aggregates blogs: MoneyScience Otherwise I could point you to bank/sell-side research. Have a look at the freely available Reuters Messenger (RM), they maintain channels where you can be permissioned ...


1

In the United States, the Federal Reserve is always late to adjust to rising inflation with an extreme outlier in the mid-1990s. Inflation always leads the flattening of the yield curve since the Fed raising interest rates which flattens the yield curve is usually in response to rising inflation. Poorly managed currencies or even the US in the 1970s will ...


1

That things are similar but addresses different range of customers and separation is needed because some ranges are bigger then is less possibility of price movement. For example Price-Load addresses wide range and not much price movement are possible here, in Price discrimination range are more narrow and more possibility in price movement are possible. ...


1

You are right, "exogeneous transaction costs" (transaction taxes, brokerage fees...) are related to illiquidity sources. In the literature, these costs impact prices because investors require compensation for its cost. Empirically, liquidity has been helpful to explain some market facts such that the small firm effect, the equity premium puzzle... Loosely ...


1

Take a basket of "similar" interest rates from the Fed's H.15 data page which have sufficient (at least a few years) data both before and after the 1997 discontinuation date. Run a regression of the old CP rate on those variables, derive a fitted CP rate, extrapolate the fitted CP rate past 1997, then regress the fitted CP rate on the two new CP rates. Use ...


1

I think you may have made a mistake in your interpretation of #1. Putting aside Akshay's concerns (which are actually quite relevant), you can find commercial paper data and other relevant interest rates at the Federal Reserve's H15 data release page. There you will find CP rate data for financial and non-financial firms, as well as the 3 month Treasury ...


1

This may have been correct earlier on - but now, with the CP market all but frozen up, this is not such a good indicator. Moreover, corporate credit is quite robust these days and still, we are talking of an impending recession - simply put, the credit risk has passed on to the sovereigns. Hence a better proxy would be municipal paper/peripehral EU bonds vs ...


1

The author's article does not predict constant interest rates. On the contrary, "...if nothing is politically accomplished in reducing our long-term debt liabilities, a large risk premium could be established in Treasury securities." The reason why this is the case is because in interest rates (R in the equation) adjust so that the quantity borrowed and ...



Only top voted, non community-wiki answers of a minimum length are eligible