Repo Patterns for New Treasury Notes

Keane, Frank M.

doi:10.2139/ssrn.1000459

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Repo Patterns for New Treasury Notes

Current Issues in Economics and Finance Vol. 2, No. 10, September 1996

6 Pages Posted: 19 Jul 2007

See all articles by Frank M. Keane

Frank M. Keane

Independent

Date Written: September 1996

Abstract

Despite the enormous popularity of the market for repurchase agreements, the behavior of interest rates on "repo" transactions is not well understood. An analysis of new data for 1992-95 reveals that repo rates on recently issued Treasury notes rise and fall in a regular pattern as the Treasury auction cycle progresses.

Keywords: repo, repurchase agreement, Treasury securities

JEL Classification: G12, G19

Suggested Citation: Suggested Citation

Keane, Frank M., Repo Patterns for New Treasury Notes (September 1996). Current Issues in Economics and Finance Vol. 2, No. 10, September 1996, Available at SSRN: https://ssrn.com/abstract=1000459 or http://dx.doi.org/10.2139/ssrn.1000459