Price Pressure and Price Discovery in the Term Structure of Interest Rates
| Autor: | Scott Mixon, Tugkan Tuzun |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
050208 finance media_common.quotation_subject 05 social sciences Substitute good 04 agricultural and veterinary sciences Price discovery Treasury Market liquidity Interest rate Order (exchange) 0502 economics and business Econometrics Economics 0401 agriculture forestry and fisheries Yield curve Futures contract media_common |
| Zdroj: | Finance and Economics Discussion Series. 2018 |
| ISSN: | 1936-2854 |
| DOI: | 10.17016/feds.2018.065 |
| Popis: | We study the price pressure and price discovery effects in the U.S. Treasury market by using a term structure model. Our model decomposes yield curve shifts into two components: a virtually permanent change related to order flow and a transitory, price pressure effect due to dealer inventories. We find strong evidence that net dealer Treasury inventories has impact on the yield curve. Cash Treasury instruments in inventory have a larger impact on yields than futures contracts, suggesting that cash and futures inventories are not perfect substitutes. Price discovery in the level of interest rates is most strongly linked to non-dealer order flow in the 10-year futures contract, while price discovery in the slope of the curve is linked to order flow in the 10-year futures and the 5-year cash market. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|