U.S. Treasury Auction Yields Before and During Quantitative Easing: Market Factors vs.Auction Specific Factors
We 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.
|Date of creation:||Jan 2014|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.brandeis.edu/departments/economics/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hongjun Yan, 2011.
"Anticipated and Repeated Shocks in Liquid Markets,"
Yale School of Management Working Papers
amz2675, Yale School of Management.
- Hongjun Yan & Jinfan Zhang & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," FMG Discussion Papers dp684, Financial Markets Group.
- Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
- Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
- Taeyoung Doh, 2010. "The efficacy of large-scale asset purchases at the zero lower bound," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 5-34.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006.
"The bond yield "conundrum" from a macro-finance perspective,"
Working Paper Series
2006-16, Federal Reserve Bank of San Francisco.
- Glenn D. Rudebusch & Eric T. Swanson & Tao Wu, 2006. "The Bond Yield "Conundrum" from a Macro-Finance Perspective," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(S1), pages 83-109, December.
- Johannes C. Stroebel & John B. Taylor, 2009. "Estimated Impact of the Fed's Mortgage-Backed Securities Purchase Program," NBER Working Papers 15626, National Bureau of Economic Research, Inc.
- Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
When requesting a correction, please mention this item's handle: RePEc:brd:wpaper:67. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Leslie Yancich)
If references are entirely missing, you can add them using this form.