Price Discovery in The U. S. Treasury Market : The Impact of Orderflow And Liquidity on The Yield Curve  

Oleh:

Brandt, Michael W. ; Kavajecz, Kenneth A.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 6 (Dec. 2004), page 2623-2654.
Topik: liquidity; studies; treasuries; liquidity; yield; impact analysis
Fulltext: p 2623.pdf (185.5KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day - to - day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery in understanding the behaviour of the yield curve.

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