Financial Market Responses to Treasury Debt Announcements: Note

Schirm, David C.; Sheehan, Richard G.; Ferri, Michael G.

doi:10.2307/1992422

Cited by 7 publications

(3 citation statements)

References 3 publications

(4 reference statements)

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“…Modigliani and Sutch (1967), one of the first papers that analyze the subject, does not find any relationship between yields and quantities of bonds. More recent research by Hoelscher (1983), Schirm-Sheehan-Ferri(1989), Wallace and Warner (1996) support the findings of Modigliani and Sutch. A number of studies, however, reach a different conclusion.…”

Section: Introductionmentioning

confidence: 66%

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The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates

Emekter

Geppert

Jirasakuldech³

2011

JBER

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In this paper, the effect of the maturity composition of marketable public debt on the term structure of interest rate is explored.  The research has shown that this effect is relatively small.  Unlike previous research, the yield changes around the quantity shocks are analyzed in relation to these shocks.  Our results show that yields respond significantly to the auctioning of new bonds.  The announcements of auctions do not have any impact on yields.  A two-factor affine yield model is used to explain the relationship between quantity shocks in public debt and term structure of interest rates.  The parameters are estimated using Generalized Method of Moments.  While the relationship between quantities and yields is weak, yields can be related to the event of the auctioning process.

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Section: Introductionmentioning

confidence: 66%

“…Since factors are orthogonal to each other and to individual error terms, factors themselves and individual error terms do not show up in equation (23). Therefore, it is possible to estimate factor loadings L and individual variances .…”

Section: 4mentioning

confidence: 99%

The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates

Emekter

Geppert

Jirasakuldech³

2011

JBER

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“…The effect of fiscal policy and monetary policy on stock prices has been investigated by Darrat (1988). The financial market response to the US Treasury debt announcements has been investigated by Schrim et al (1989). The financial market response to the US Treasury debt announcements has been investigated by Schrim et al (1989).…”

Section: Introductionmentioning

confidence: 99%

Are trade balance announcements informative?

Kutty

Sabi

1994

Applied Financial Economics

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The impact of US trade balance announcements on stock prices and bond interest rates of varying maturities is examined over the period 1980-90. The results indicate that an unexpectedly large trade deficit drives stock prices down. The unanticipated trade deficit has no influence on stock prices and bond interest rates for the sub-period 1980-85. However, it has a negative impact on stock prices and a positive effect on bond interest rates over the sub-period 1986-90.

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Balance of trade announcements and asset prices: influence on equity prices, exchange rates, and interest rates

Aggarwal

Schirm

1992

Journal of International Money and Finance

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Financial Market Responses to Treasury Debt Announcements: Note

Cited by 7 publications

References 3 publications

The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates

The Effect Of Government Debt Quantity Shocks On The Term Structure Of Interest Rates

Are trade balance announcements informative?

Balance of trade announcements and asset prices: influence on equity prices, exchange rates, and interest rates

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