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Journal Article

Using Dealer Financing Costs to Forecast Turning Points in the Treasury Bill Market

Donald L. Koch, Joseph T. Doyle and Joseph A. Whitt Jr.
Business Economics
Vol. 19, No. 1 (January 1984), pp. 30-39
Stable URL: http://www.jstor.org/stable/23483824
Page Count: 10
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Using Dealer Financing Costs to Forecast Turning Points in the Treasury Bill Market
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Abstract

This paper develops an indicator of market conditions which signals when a turning point in interest rates on Treasury bills is likely. The indicator is based on an analysis of the behavior of government securities dealers, firms which make markets on a wide range of Treasury securities. These dealers maintain inventories of Treasury securities; changes in the size of these inventories and in the cost of their financing provide clues about future movements of interest rates on Treasury bills.

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