美国国债浮动利率票据的定价

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-03-27 DOI:10.1016/j.jfineco.2024.103833

Jonathan S. Hartley , Urban J. Jermann

{"title":"美国国债浮动利率票据的定价","authors":"Jonathan S. Hartley , Urban J. Jermann","doi":"10.1016/j.jfineco.2024.103833","DOIUrl":null,"url":null,"abstract":"<div><p>Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":"155 ","pages":"Article 103833"},"PeriodicalIF":10.4000,"publicationDate":"2024-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The pricing of U.S. Treasury floating rate notes\",\"authors\":\"Jonathan S. Hartley , Urban J. Jermann\",\"doi\":\"10.1016/j.jfineco.2024.103833\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":\"155 \",\"pages\":\"Article 103833\"},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-03-27\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X24000564\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X24000564","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

自 2014 年 1 月起，美国财政部开始发行浮动利率票据（FRN）。这些票据根据当季新发行的三个月期国库券的固定到期利率的平均值支付季度利息。我们展示了如何为这些浮动利率票据定价。我们估计，这些票据支付的超额利息比其他国库券的隐含利息高出 3 到 42 个基点。我们通过类货币资产的货币性程度不同的模型来解释这一事实。其他经验证据也支持这一解释。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The pricing of U.S. Treasury floating rate notes

Since January 2014, the U.S. Treasury has been issuing floating rate notes (FRNs). These notes pay quarterly interest based on an average of the constant maturity rates of newly issued three-month T-bills during the quarter. We show how to price such FRNs. We estimate that they have been paying excess interest between 3 and 42 basis points above the implied interest of other Treasury securities. We interpret this fact through the lens of a model where money-like assets differ in their degrees of moneyness. Additional empirical evidence supports this interpretation.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.