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A Comparative Study of the Efficiency of Treasury Bill Auctions as Measured by Expectation Theory of the Term Structure of Interest Rates in Kenya, Tanzania and USA

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dc.contributor.author Sayi, Basindike Lyengemekeja
dc.date.accessioned 2016-03-01T06:16:50Z
dc.date.available 2016-03-01T06:16:50Z
dc.date.issued 2004
dc.identifier.uri http://erepo.usiu.ac.ke/11732/2180
dc.description A Project Report by Sayi Basindike Lyengemekeja, Submitted to the School of Business, USIU-A in Partial Fulfillment of the Requirement for the Degree of Master in International Business Administration en_US
dc.description.abstract Extensive Treasury bill studies on the information in the term structure of the internet rates have been done in USA and Canada. Unfortunately, literature reveals limited studies in Tanzania and Kenya on this topic. This study compared the efficiency of the Treasury bill auctions as measured by the expectation theory of term structure of interest rates in Kenya. Tanzania and USA. It examined the possibility that the absolute yield spread could be used to measure auction performance instead of the accepted yield dispersion. The study objectives were: • To use the C-G model to test the efficiency of Treasury bill in Kenya, Tanzania and USA as suggested by Campbell and Galbraith (1997). • To determine whether the efficiency of Treasury auctions in Kenya and Tanzania can be measured by the auction performance measures, specifically, the absolute yield spread as suggested by Dodbout, Store and Zimmermann (2002). • To compare the performance of Treasury bills auction in Tanzania, Kenya and USA. Correlation research design was used to construct the population and samples and to test hypothesis on he basis of Treasury bill data available to the public. SPSS and Excel were used to support data analysis. The C-G slope indicated market forecasting accuracy while the Durbin-Watson test verified the results of tested hypothesis. Empirical studies suggested that lack of perfect information holds up. In case of price unpredictability, the Durbin-Watson test general indicated that the Treasury bills auctions in three countries were efficient after excluding observations with extreme absolute yield spread. The G-C findings in Kenya, USA and Tanzania indicated that the expectation theory of term structure of interdst rate seems to hold for small yield spread and failed for large yield spread. These findings were harmony with those obtained by Campbell and Galbraith (1997). Through logic regression and non-parametric test, the study found that only for large yield dispersion as suggested by Dodbout, Storer and Zimmermann (2002). This suggests that a large yield spread is an indication of unusual activities in the Treasury bill auction. This study is important as it suggests that monetary policy in Kenya and Tanzania could be guided by the expectation theory of the term structure of interest rates. Policy makers, regulators and investors can use these findings to make financial decisions and monitor the performance of Treasury bill auctions.
dc.publisher United States International University - Africa en_US
dc.subject A Comparative Study of the Efficiency of Treasury Bill Auctions as Measured by Expectation Theory of the Term Structure of Interest Rates in Kenya, Tanzania and USA en_US
dc.title A Comparative Study of the Efficiency of Treasury Bill Auctions as Measured by Expectation Theory of the Term Structure of Interest Rates in Kenya, Tanzania and USA en_US
dc.type Thesis en_US


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