Fabienne Schneider is a Senior Economist in the Financial Markets Department at the Bank of Canada. She is a financial economist whose primary research interests are government bond markets and their market structure. Before joining the Bank of Canada, Fabienne was a research and teaching assistant at the Study Center Gerzensee in Switzerland. She received her Ph.D. in economics from the University of Bern.
The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities.
