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: MS032, P.O. Box 9110, Waltham, MA 02454-9110|
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.:
- Dong Lou & Hongjun Yan & Jinfan Zhang, 2013.
"Anticipated and Repeated Shocks in Liquid Markets,"
Review of Financial Studies,
Society for Financial Studies, vol. 26(8), pages 1891-1912.
- 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.
- Jesus Sierra, 2014. "International Capital Flows and Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1450001-1-1.
- 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.
- 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.
- 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.
- Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
- Christopher J. Neely, 2010. "The large scale asset purchases had large international effects," Working Papers 2010-018, Federal Reserve Bank of St. Louis.
- 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.
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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.