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The changing information content of market interest rates

In: Market functioning and central bank policy

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Author Info

  • Vincent Reinhart

    (Federal Reserve System)

  • Brian Sack

    (Federal Reserve System)

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    File URL: http://www.bis.org/publ/bppdf/bispap12p.pdf
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    This chapter was published in:

  • Bank for International Settlements, 2002. "Market functioning and central bank policy," BIS Papers, Bank for International Settlements, number 12, 8.
    This item is provided by Bank for International Settlements in its series BIS Papers chapters with number 12-16.

    Handle: RePEc:bis:bisbpc:12-16

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    1. Vincent Reinhart & Brian Sack, 2000. "The Economic Consequences of Disappearing Government Debt," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 31(2), pages 163-220.
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    Cited by:
    1. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
    2. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    3. Adam Kobor & Lishan Shi & Ivan Zelenko, 2005. "What Determines U.S. Swap Spreads?," World Bank Publications, The World Bank, number 7272, July.
    4. Craig H. Furfine & Eli M. Remolona, 2005. "Price discovery in a market under stress: the U.S. Treasury market in fall 1998," Working Paper Series WP-05-06, Federal Reserve Bank of Chicago.
    5. Feldh├╝tter, Peter & Lando, David, 2008. "Decomposing swap spreads," Journal of Financial Economics, Elsevier, vol. 88(2), pages 375-405, May.
    6. Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
    7. Don H Kim & Athanasios Orphanides, 2007. "The bond market term premium: what is it, and how can we measure it?," BIS Quarterly Review, Bank for International Settlements, June.
    8. John Hawkins, 2005. "Globalisation and monetary operations in emerging economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and monetary policy in emerging markets, volume 23, pages 59-80 Bank for International Settlements.
    9. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer, vol. 29(3), pages 211-235, June.

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