Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
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 behavior of the yield curve. Copyright 2004 by The American Finance Association.
Volume (Year): 59 (2004)
Issue (Month): 6 (December)
|Contact details of provider:|| Web page: http://www.afajof.org/|
More information through EDIRC
|Order Information:||Web: http://www.afajof.org/membership/join.asp|
When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:59:y:2004:i:6:p:2623-2654. See general information about how to correct material in RePEc.
If references are entirely missing, you can add them using this form.