Current Issues in Economics and Finance

Repo Patterns for New Treasury Notes

September 1996Volume 2, Number 10
JEL classification: G12, G19

Author: Frank Keane

Despite the enormous popularity of the market for repurchase agreements, the behavior of interest rates on "repo" transactions is not well understood. An analysis of new data for 1992-95 reveals that repo rates on recently issued Treasury notes rise and fall in a regular pattern as the Treasury auction cycle progresses.

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