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GSE Debt and the Decline in the Treasury Market

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  • Ambrose, Brent W
  • Dolly King, Tao-Hsien

Abstract

As a result of the economic expansion during the late 1990s, the size of the federal debt has declined significantly. Contemporaneous with this reduction in Treasury debt, growth in federal agency debt has been remarkable. Understanding the impact of the decline in federal debt outstanding on the GSE debt market is of critical importance to policymakers involved in the debate regarding the costs and benefits of the GSEs' Congressional charter. Thus, this paper separates the liquidity effect of GSE benchmark creation from the substitution effect resulting from the reduction in the Treasury debt market.

Suggested Citation

  • Ambrose, Brent W & Dolly King, Tao-Hsien, 2002. "GSE Debt and the Decline in the Treasury Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 812-839, August.
    • Handle: RePEc:mcb:jmoncb:v:34:y:2002:i:3:p:812-39
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    Cited by:

    1. Chung, Hon-Lun & Chan, Wai-Sum, 2010. "Impact of credit spreads, monetary policy and convergence trading on swap spreads," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 118-126, March.
    2. Feldhütter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    3. Edda Claus & Mardi Dungey & Renée Fry, 2008. "Monetary Policy in Illiquid Markets: Options for a Small Open Economy," Open Economies Review, Springer, vol. 19(3), pages 305-336, July.
    4. Hager, Sandy Brian, 2013. "Public Debt, Ownership and Power: The Political Economy of Distribution and Redistribution," EconStor Theses, ZBW - Leibniz Information Centre for Economics, number 157991, October.
    5. repec:wvu:wpaper:10-04 is not listed on IDEAS

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