Price pressure in the government bond market

American Economic Review

Volumn 100, Issue 2, 2010, Pages 585-590

  Greenwood, Robin ^a,b   Vayanos, Dimitri ^b,c  

^a HARVARD BUSINESS SCHOOL   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77953712292     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.100.2.585     Document Type: Conference Paper

References (10)

1. Cox, John C., Jonathan E. Ingersoll Jr., and Stephen A. Ross. 1985. "A Theory of the Term Structure of Interest Rates." Econometrica, 53(2): 385-407.
2. Culbertson, John M. 1957. "The Term Structure of Interest Rates." Quarterly Journal of Economics, 71(4): 485-517.
3. Gabaix, Xavier, Arvind Krishnamurthy, and Olivier Vigneron. 2007. "Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market." Journal of Finance, 62(2): 557-595
4. Garbade, Kenneth D., and Matthew Rutherford. 2007. "Buybacks in Treasury Cash and Debt Management." Federal Reserve Bank of New York Staff Report 304.
5. Greenwood, Robin, and Dimitri Vayanos. 2010. "Bond Supply and Excess Bond Returns." Unpublished.
6. Islam, Moyeen. 2007. "The State that I am in..." In Equity Gilt Study 2007, 52-63. London: Barclays Capital.
7. Krishnamurthy, Arvind, and Annette Vissing-Jorgensen. 2007. "The Demand for Treasury Debt." National Bureau of Economic Research Working Paper 12881.
8. Modigliani, Franco, and Richard Sutch. 1966. "Innovations in Interest-Rate Policy." American Economic Review, 56(1-2): 178-197
9. Ross, Myron H. 1966. "'Operation Twist': A Mistaken Policy?" Journal of Political Economy, 74(2): 195-199
10. Vayanos, Dimitri, and Jean-Luc Vila. 2009. "A Preferred-Habitat Model of the Term Structure of Interest Rates." National Bureau of Economic Research Working Paper 15487.