Purchases treasury securities by NBP
نویسندگان
چکیده
منابع مشابه
Investing in Treasury Inflation Protected Securities
Inflation-protected securities are bonds with unique investment characteristics. These securities represent a relatively new type of financial asset in the United States, where the government first issued Treasury Inflation-Indexed Securities (also called Treasury inflation-protected securities, or TIPS) in January 1997. The TIPS market has experienced rapid growth: Its total value had climbed ...
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The market for U.S. Treasury securities is by many measures the largest, most active debt market in the world. At the end of September 1999, the amount of Treasury debt held outside federal government accounts totaled about $3.6 trillion, close to the amount of outstanding debt securities issued by all U.S. corporations combined.1 Moreover, enormous amounts of Treasury securities are traded eve...
متن کاملThe Response of Sector Index Options on Treasury Securities to Macro-economic Announcements
The flow of new information into a market changes prices as participants adjust their expectations in light of their new knowledge. This paper links two strands of existing micro-structure research by integrating recent findings on how macroeconomic announcements move markets with well-known theoretical relationships between asset prices and the value of their derivatives. This allows us to dev...
متن کاملPricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model
This paper uses an HJM model to price TIPS and related derivative securities. First, using the market prices of TIPS and ordinary U.S. Treasury securities, both the real and nominal zero-coupon bond price curves are obtained using standard coupon-bond price stripping procedures. Next, a three-factor arbitragefree term structure model is fit to the time series evolutions of the CPI-U and the rea...
متن کاملOrder Flow Segmentation and the Role of Dark Trading in the Price Discovery of U.S. Treasury Securities
This paper studies the workup protocol, a unique trading feature in the U.S. Treasury securities market that resembles a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains less information than its transparent co...
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ژورنال
عنوان ژورنال: Annales Universitatis Mariae Curie-Skłodowska, sectio H, Oeconomia
سال: 2015
ISSN: 0459-9586
DOI: 10.17951/h.2014.48.4.177