T-bond holding period

[Doug Henwood <dhenwood@xxxxxxxxx>]

William F. Hummel wrote:

>>Except that the average holding period for a US Treasury long bond is about
>>30 days.
>-----------
>Please quote your source.

If I may indulge in the great PKT practice of citing myself, here's a
passage from page 25 of my book Wall Street (Verso, $25):

"The Bank for International Settlements (Benzie 1992, p. 43) estimated that
the average holding period for U.S. Treasury bonds and notes was just one
month, with a similar figure prevailing in Japan, Germany, and Britain. The
average holding period for a Treasury bill was three weeks, ten weeks short
of the shortest-lived T-bill."

reference
---------
Benzie, Richard (1992). "The Development of the International Bond Market,"
BIS Economic Papers No. 32 (Basel: Bank for International Settlements,
January).


Doug

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