Flight to safety, intermediation frictions, and US Treasury floating rate note prices

Yongkil Ahn

doi:10.1016/j.frl.2023.104873

Flight to safety, intermediation frictions, and US Treasury floating rate note prices

Yongkil Ahn

Dept. of Business Administration

Research output: Contribution to journal › Article › peer-review

Abstract

While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.

Original language	English
Article number	104873
Journal	Finance Research Letters
Volume	60
DOIs	https://doi.org/10.1016/j.frl.2023.104873
State	Published - Feb 2024

Keywords

Flight to safety
Floating rate note
Intermediation friction

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10.1016/j.frl.2023.104873

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title = "Flight to safety, intermediation frictions, and US Treasury floating rate note prices",

abstract = "While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.",

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author = "Yongkil Ahn",

note = "Publisher Copyright: {\textcopyright} 2023 Elsevier Inc.",

year = "2024",

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language = "English",

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N2 - While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.

AB - While US Treasury floating rate notes (FRNs) are typically traded at a premium, they often experience significant price discounts. We find that this significant discount in US Treasury FRNs can be partly attributed to intermediation friction. The results reveal that new intermediation friction and canonical fight-to-safety channels can better explain the price changes in US Treasury FRNs.

KW - Flight to safety

KW - Floating rate note

KW - Intermediation friction

UR - https://www.scopus.com/pages/publications/85180601837

U2 - 10.1016/j.frl.2023.104873

DO - 10.1016/j.frl.2023.104873

M3 - Article

AN - SCOPUS:85180601837

SN - 1544-6123

VL - 60

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 104873

ER -

Flight to safety, intermediation frictions, and US Treasury floating rate note prices

Abstract

Keywords

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