Essays on open market operations, the maturity composition of the public debt, and the term structure

his dissertation addresses issues related to liquidity and market determination of interest rates. Chapters two and three address the market for overnight loans of federal funds. Deviations of the federal funds rate from its target can be interpreted as demand innovations for federal funds. These demand shocks can be modeled as an unobserved component and estimated using the Kalman filter to identify liquidity effects. The effect of a...