Dimitri Vayanos is from the London School of Economics, CEPR and NBER. Pierre-Olivier Weill is from the University of California, Los Angeles. We thank an anonymous referee, Tobias Adrian, Yakov Amihud, Hal Cole, Darrell Duffie, Bernard Dumas, Humberto Ennis, Mike Fleming, Nicolae Gârleanu, Ed Green, Josi Hasbrouck, Terry Hendershott. Jeremy Gravelline, Narayana Kocherlakota, Anna Pavlova, Lasse Pedersen, Malt Richardson, Bill Silber, Rob Stambaugh, Stijn Van Nieuwerburgh, Neil Wallace, Robert Whitelaw, Randy Wright; seminar participants at the Federal Reserve Bank of Minneapolis, Federal Reserve Bank of New York. Federal Reserve Bank of Richmond, HEC Paris, London School of Economics, McGill University, New York University, Oxford University, Paris School of Economics, Pennsylvania State University, Tulane University, University of California Los Angeles (Anderson and Department of Economics), University of Mannheim, University of Piraeus, University of Southern California, Unversity of Vienna, Pennsylvania State University; and participants at the American Finance Association 2005, Caesarea Center Annual Conference 2005, Federal Reserve Bank of Cleveland Summer Workshops in Money, Banking and Payments 2005. NBER Asset Pricing 2005, and Society for Economic Dynamics 2005 conference for helpful comments. We are especially grateful to Mark Fisher, Kenneth Garbade, Tain Hsia-Schneider and Frank Keane for explaining to us many aspects of Treasury markets.
A Search-Based Theory of the On-the-Run Phenomenon
Version of Record online: 9 MAY 2008
© 2008 the American Finance Association
The Journal of Finance
Volume 63, Issue 3, pages 1361–1398, June 2008
How to Cite
VAYANOS, D. and WEILL, P.-O. (2008), A Search-Based Theory of the On-the-Run Phenomenon. The Journal of Finance, 63: 1361–1398. doi: 10.1111/j.1540-6261.2008.01360.x
- Issue online: 9 MAY 2008
- Version of Record online: 9 MAY 2008
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