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| Volume 2, Issue 3 (September 2010) |
Abstract | Full Text| References| How to Cite
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Title: The Role of the Volatility of Inventories in Explaining the Volatility of the Commercial Paper-T-bill Spread: An Empirical Study
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Author(s):
Augustine C. Arize
Texas A&M University-Commerce, USA
Srinivas Nippani
Texas A&M University-Commerce, USA
Steven S. Shwiff
Texas A&M University-Commerce, USA
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Abstract:
The spread between non-financial commercial paper and Treasury bill rates of equal maturity has been the focus of many empirical studies. In this study, the relationship between the volatilities of total business inventory and the spread is examined. It is shown using a robust model that an increase in total business inventory by one standard deviation translates to an increase in the spread by up to 1.12 standard deviation. The findings of the study further strengthen the idea that the paper-bill spread is a critical component in building dynamic economic models and policymaking.
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| Keywords:Volatility of Inventories, Volatility of Spread. |
