U.S. Treasury Auction Yields Before and During Quantitative Easing: Market Factors vs.Auction Specific Factors
AbstractWe construct a dataset for every U.S. Treasury auction from 2003 to 2012. We find that market factors known before the auction -- FedFunds rate, S&P, VIX -- are all significant for the auction high-yield, but the relationships differ before vs. during QE and between Bond and Bills auctions. Auction-specific innovations matter for the auction high-yield. Bills auctions have a forecastable component based on information from the previous auction of that maturity. Bidder types may differ systematically. Indirect bidders in the Bond auctions may bid relatively ‘low’ compared to the average bid and Primary Dealers may bid ‘high’. These relationships differ before vs. during QE. These results suggest that quantitative easing implemented in the secondary market has affected the auction market for U.S. Treasury securities.
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Bibliographic InfoPaper provided by Brandeis University, Department of Economics and International Businesss School in its series Working Papers with number 67.
Length: 20 pages
Date of creation: Jan 2014
Date of revision:
Federal Reserve; quantitative easing; foreign official; Dutch auction; US Treasury securities;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- F49 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-03-22 (All new papers)
- NEP-MAC-2014-03-22 (Macroeconomics)
- NEP-MON-2014-03-22 (Monetary Economics)
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