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Efficiency of the Secondary T-Bill Market

Author

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  • Zdeněk Dvorný

Abstract

The article analyzes efficiency of the Czech treasury T-bill market and the interbank deposit market over period 1993 to 1999. An efficient market-expectation hypothesis and alternative preferred habitat hypothesis were selected to compare both the markets and to determine the extent to which they are affected by macroeconomic fundamentals. The results reveal that the treasury T-bill market is more effective compared to the interbank deposit market. This founding has strong implication in the sence that only the treasury market over the given period is appropriate to be empirically investigated.

Suggested Citation

  • Zdeněk Dvorný, 2004. "Efficiency of the Secondary T-Bill Market," Prague Economic Papers, University of Economics, Prague, vol. 2004(1), pages 17-25.
  • Handle: RePEc:prg:jnlpep:v:2004:y:2004:i:1:id:228:p:17-25
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    More about this item

    Keywords

    treasury bill; interbank deposit market; efficiency; term structure hypotheses;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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