The Canadian treasury bill auction and the term structure of interest rates
AbstractThis paper examines the efficiency of the Canadian treasury bill market as measured by the performance of the expectations model of the term structure of interest rates. In particular, market efficiency is shown to depend upon certain institutional features of the treasury bill auction process. Building on past work by Campbell and Galbraith (1997), the paper establishes links between rejections of efficiency and high absolute values of the spread between six and three month interest rates. The major contribution of the paper is to then show that a link exists between weeks in which spreads are large and weeks in which accepted auction yields show a large degree of dispersion. The paper discusses the implications of these findings for the term structure literature and for the reform of auction precedures currently in progress at the Bank of Canada and Department of Finance. Ce papier examine l'efficacitÃ© du marchÃ© des bons du trÃ©sor canadiens tel que mesurÃ©e par la performance du modÃ¨le de la structure par terme des taux d'intÃ©rÃªt. En particulier, l'efficacitÃ© du marchÃ© dÃ©pend de certaines caractÃ©ristiques institutionnelles du processus d'adjudication des bons du trÃ©sor. Se basant sur les travaux de Campbell et Galbraith (1997), le papier etablit des liens entre les rejets d'efficacitÃ© et les Ã©carts Ã©levÃ©s, en termes absolus, des rendements des titres Ã trois et six mois. La principale contribution du papier est alors de montrer qu'il y a un lien entre les semaines oÃ¹ ces Ã©carts sont importants et les semaines oÃ¹ les rendements des offres acceptÃ©es Ã l'enchÃ¨re sont fortement dispersÃ©es. Le papier discute les implications de ceci pour la littÃ©rature sur la structure par terme des taux d'intÃ©rÃªt et pour la rÃ©forme des procÃ©dures d'enchÃ¨re actuellement en cours Ã la Banque du Canada et au DÃ©partment des Finances.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 26 (2002)
Issue (Month): 6 (June)
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Web page: http://www.elsevier.com/locate/jbf
Other versions of this item:
- Lise Godbout & Paul Storer & Christian Zimmermann, 1999. "The Canadian Treasury Bill Auction and the Term Structure of Interest Rates," Cahiers de recherche CREFE / CREFE Working Papers 75, CREFE, Université du Québec à Montréal.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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