| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w9529 |
| 来源ID | Working Paper 9529 |
| Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve | |
| Michael W. Brandt; Kenneth A. Kavajecz | |
| 发表日期 | 2003-03-03 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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) can account for as much as 26 percent 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 on understanding the behavior of the yield curve. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w9529 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567149 |
| 推荐引用方式 GB/T 7714 | Michael W. Brandt,Kenneth A. Kavajecz. Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w9529.pdf（248KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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