Idiosyncratic Variation of Treasury Bill Yields
发现自1980年代初起，短期国库券收益率出现两种重要波动：一是短期（三个月内）国库券的个体异质性波动，二是国库券特有的、其他工具（如私人短期票据或长期国债）没有的共同成分。前者可能反映市场分割加剧，对无套利期限结构模型的校准和预期假说检验有重要影响。
ABSTRACT I document a dramatic increase in the importance of two types of variation in Treasury bill yields beginning in the early 1980s. The first is idiosyncratic variation in individual short‐maturity (less than three months) bill yields. The second is a common component in Treasury bill yields that is not shared by yields on other instruments, such as short‐maturity privately‐issued instruments or longer‐maturity Treasury notes and bonds. Some evidence suggests the first type reflects increased market segmentation. These results have important implications for the calibration and testing of no‐arbitrage term structure models and interpreting tests of the expectations hypothesis.