Abstract

http://ssrn.com/abstract=2109599
 
 

References (59)



 


 



No-Arbitrage Restrictions and the U.S. Treasury Market


Andrea Ajello


Federal Reserve Board

Luca Benzoni


Federal Reserve Bank of Chicago - Research Department

Olena Chyruk


Federal Reserve Bank of Chicago

May 23, 2012

Economic Perspectives, Vol. XXXVI, No. 2, p. 55, 2012

Abstract:     
What is the role of arbitrage trading in the U.S. Treasury market? We discuss the pricing of risk-free Treasury securities via no-arbitrage arguments and illustrate how this approach works in models of the term structure of interest rates. The article continues with an evaluation of market frictions (for example, transaction costs, leverage constraints, and the limited availability of arbitrage capital) in the government debt market. We conclude with a discussion on the implications of such frictions for monetary policy and the pricing of bonds using no-arbitrage term structure models.

Number of Pages in PDF File: 20

Keywords: no-arbitrage restrictions, U.S. Treasury market, dynamic term structure models, affine models, limits to arbitrage, Asset Pricing, Trading volume, Bond Interest Rates, Interest Rates: Determination, Term Structure, and Effects, Banks, Other Depository Institutions, Micro Finance Institutions

JEL Classification: G12, G21

Accepted Paper Series





Download This Paper

Date posted: July 17, 2012 ; Last revised: July 20, 2012

Suggested Citation

Ajello, Andrea and Benzoni, Luca and Chyruk, Olena, No-Arbitrage Restrictions and the U.S. Treasury Market (May 23, 2012). Economic Perspectives, Vol. XXXVI, No. 2, p. 55, 2012. Available at SSRN: http://ssrn.com/abstract=2109599

Contact Information

Andrea Ajello
Federal Reserve Board ( email )
20th Street and Constitution Avenue NW
Washington, DC 20551
United States
HOME PAGE: http://sites.google.com/site/ajelloandrea/
Luca Benzoni (Contact Author)
Federal Reserve Bank of Chicago - Research Department ( email )
230 South LaSalle Street
Chicago, IL 60604
United States
312-322-8499 (Phone)
HOME PAGE: http://lbenzoni.frbchi.googlepages.com/
Olena Chyruk
Federal Reserve Bank of Chicago ( email )
230 South LaSalle Street
Chicago, IL 60604
United States
Feedback to SSRN


Paper statistics
Abstract Views: 313
Downloads: 44
References:  59

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.546 seconds