Prague Economic Papers 2004, 13(1):17-25 | DOI: 10.18267/j.pep.228

Efficiency of the Secondary T-Bill Market

Zdeněk Dvorný
Czech National Bank, Na Příkopě 28, CZ - 115 03 Prague 1 (e-mail: zdenek.dvorny@post.cz).

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.

Keywords: treasury bill, interbank deposit market, efficiency, term structure hypotheses
JEL classification: C22, E43, E44, G14

Published: January 1, 2004  Show citation

ACS AIP APA ASA Harvard Chicago Chicago Notes IEEE ISO690 MLA NLM Turabian Vancouver
Dvorný, Z. (2004). Efficiency of the Secondary T-Bill Market. Prague Economic Papers, 13(1), 17-25. doi: 10.18267/j.pep.228
Download citation
  • BibTeX (.bib)
  • Bookends (.ris)
  • EasyBib (.ris)
  • EndNote (.enw)
  • EndNote 8 (.xml)
  • ISI WoS (.isi)
  • Medlars (.medlars)
  • Mendeley (.ris)
  • MODS (.xml)
  • Papers (.ris)
  • RefWorks (.txt)
  • RefManager (.ris)
  • RIS (.ris)
  • MS Word (.xml)
  • Zotero (.ris)
    • Open full article

    References

    1. Cargill, T. F. (1975), "The Term Structure of Interest Rates: A Test of the Expectations Hypothesis". The Journal of Finance, 30 (3), pp. 761-771. Go to original source...
    2. Carleton, W. T., Cooper, I. A. (1976), "Estimation and Uses of the Term Structure of Interest Rates". The Journal of Finance, 31 (4), pp. 1067-1083. Go to original source...
    3. Cornelius, P. K. (1993), "A Note on the Informational Efficiency of Emerging Stock Markets". Weltwirtschaftliches Archiv, 129, pp. 820-828. Go to original source...
    4. Dobson, S. W., Sutch, R. C., Vanderford, D. E. (1976), "An Evaluation of Alternative Empirical Models of the Term Structure of Interest Rates". The Journal of Finance, 31 (4), pp. 1035-1065. Go to original source...
    5. Duguay, P. (1994), "Empirical Evidence on the Strength of the Monetary Transmission Mechanism in Canada". Journal of Monetary Economics, 33, pp. 39-61. Go to original source...
    6. Fama, E. F. (1970), "Efficient Capital Markets: A Review of Theory and Empirical Work". Journal of Finance, 25, pp. 383-417. Go to original source...
    7. Fama, E. F. (1976), "Forward Rates as Predictors of Future Spot Rates". Journal of Financial Economy, 3, pp. 361-377. Go to original source...
    8. Filer, R., Hanousek, J. (1996), "The Extent of Efficiency in Central European Equity Markets". Prague, CERGE-EI, Working Paper 104. Go to original source...
    9. Hanousek, J., Filer, R. (1996), "Informational Efficiency in Central European Equity Markets: The Effect of Macroeconomic Variables on Stock Prices". Prague, CERGE-EI, Working Paper 102.
    10. Hanousek, J., Kočenda, E. (1997), "South American Capital Markets: Statistics of the Past Decade". Prague, CERGE-EI, Working Paper 107. Go to original source...
    11. Hanousek, J., Filer, R. (1999), "The Relationship between Economic Factors and Equity Markets in Central Europe". Prague, CERGE-EI, Working Paper 28. Go to original source...
    12. Llad, P., Pippenger, J. (1976), "Preferred Habitat vs. Efficient Market: A Test of Alternative Hypotheses". Federal Reserve Bank St. Louis Review, 58 (5), pp. 11-19. Go to original source...
    13. Mishkin, F. S. (1978), "Efficient-Markets Theory: Implications for Monetary Policy". Brookings Papers on Economic Activity, 3, pp. 707-752. Go to original source...
    14. Mishkin, F. S. (1981), "Monetary Policy and Long-term Interest Rates: An Efficient Markets Approach". Journal of Monetary Economics, 7, pp. 29-55. Go to original source...
    15. Modigliani, F., Sutch, R. (1967), "Debt Management and the Term Structure of Interest Rates: An Empirical Analysis of Recent Experience". Journal of Political Economy, 75 (4), pp. 569-589. Go to original source...
    16. Modigliani, F., Shiller, R. J. (1973), "Inflation, Rational Expectations and the Term Structure of Interest Rates". Economica, 40 (157), pp. 12-43. Go to original source...
    17. Pesando, J. E. (1975), "The Determinants of Term Premiums in the Market for United States Treasury Bills". Journal of Finance, 30 (5), pp. 1317-1327. Go to original source...
    18. Pesando, J. E. (1975), "Rational Expectations and Distributed Lag Expectations Proxies". Journal of American Statistical Association, 71, pp. 36-42. Go to original source...
    19. Pesando, J. E. (1978), "On the Efficiency of the Bond Market: Some Canadian Evidence". Journal of Political Economy, 86 (6), pp. 1057-1076. Go to original source...
    20. Rudebush, G. D. (1995), "Federal Reserve Interest Rate Targeting, Rational Expectations, and the Term Structure". Journal of Monetary Economics, 35, pp. 245-274. Go to original source...

    This is an open access article distributed under the terms of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY NC ND 4.0), which permits non-comercial use, distribution, and reproduction in any medium, provided the original publication is properly cited. No use, distribution or reproduction is permitted which does not comply with these terms.


    Return to the content