31, 2018 is 101%, calculated on the MBS and a U.S. Treasury Bill
held in the revenue fund.
The Sharpe ratio is computed for each portfolio using the mean return on the U.S. Treasury bill
portfolio as a proxy for the risk-free rate.
dollar-denominated assets, particularly U.S. Treasury bills
and bonds of the U.S.
Saudi Arabia has, over the past three decades, kindly recycled the cash sucked from the wallets of American SUV owners and sent much of the loot right back to New York to buy U.S. Treasury bills
and other U.S.
Importing manufactured goods from China has hardly stalled America's economy, and the willingness of China's central bank to buy U.S. Treasury bills
effectively allows this country to live beyond its means.
interest rates are expected to rise this year, which prompts global investors to shift investment out of emerging markets like Latin America and into less-risky U.S. Treasury bills
. Higher interest rates in the United States also make Latin America's dollar-denominated debt more expensive to service.
Interestingly, foreigners are purchasing about two-thirds of the IOUs we are issuing for this debt in the form of U.S. Treasury bills
Rates on U.S. Treasury bills
and bonds give an incomplete notion of the market because those instruments carry virtually no credit risk; a comparison with risky securities can yield more information.
Table 3 Six-month Forecast of Three-month U.S. Treasury Bills
Date of Forecast Forecast Actual Error Year-end 1999 5.6% 5.9% -0.3% Mid-year 2000 6.1% 5.9% 0.2% Year-end 2000 5.4% 3.6% 1.8% Mid-year 2001 3.4% 1.7% 1.7% Year-end 2001 1.9% 1.7% 0.2% Mid-year 2002 2.2% 1.2% 1.0% Source: Wall Street Journal Table 4 Interest Rate Spreads and Economic Trends Market Spread 1999 2001 2003 Mid-2004 Yield Curve 0.3% -0.9% 2.9% 3.6% Low-grade Corporate 4.6% 8.2% 6.8% 2.9% Source: The Wall Street Journal and Global Indicators written monthly by the author.
Snow responded with encouragement to "interim policy steps" toward a feely traded Yuan, Suggestion also has been made that China may agree in compromise instead of floating the Yuan by reducing currently offered export subsidies, such as tax rebates to manufacturers who export of by purchasing larger quantities of U.S. Treasury bills
to help manage the U.S.'s massive budget deficit.
These profitability rates can be compared with an estimated rate of about 4 basis points estimated by Cammack (1979) in auctions for three-month U.S. treasury bills
during the 1970s, and of about 1.5 basis points estimated by Spindt and Stolz (1993) for auctions during the 1980s.
ERSR = the ex ante real interest rate yield on U.S. Treasury bills