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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve / Michael W. Brandt, Kenneth A. Kavajecz.
- Format:
- Book
- Author/Creator:
- Brandt, Michael W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9529.
- NBER working paper series no. w9529
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Price Discovery in the U.S. Treasury Market
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2003.
- Summary:
- 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) can account for as much as 26 percent 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 on understanding the behavior of the yield curve.
- Notes:
- Print version record
- March 2003.
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