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Flight to safety, intermediation frictions, and US Treasury floating rate note prices

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  • Ahn, Yongkil

Abstract

While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.

Suggested Citation

  • Ahn, Yongkil, 2024. "Flight to safety, intermediation frictions, and US Treasury floating rate note prices," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s154461232301245x
    DOI: 10.1016/j.frl.2023.104873
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    More about this item

    Keywords

    Flight to safety; Intermediation friction; Floating rate note;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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