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AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN UK TREASURY BILLS AND THE TERM STRUCTURE OF CERTIFICATES OF DEPOSIT *
Author(s) -
Fraser Patricia
Publication year - 1995
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/j.1467-8586.1995.tb00607.x
Subject(s) - yield curve , treasury , term (time) , certificate , economics , yield (engineering) , principal (computer security) , econometrics , measure (data warehouse) , monetary economics , interest rate , mathematics , computer science , geography , physics , materials science , algorithm , quantum mechanics , metallurgy , operating system , archaeology , database
Using principal components analysis, this paper derives a direct measure of movements in the level and slope of the certificate of deposit yield curve. Appealing to the efficient markets view of the term structure of interest rates, evidence is reported which suggests that changes in Treasury Bill yields have a considerable influence over changes in the level of CD yields but only have a small, transitory effect on the slope of the term structure of CDs.