Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve
Publication
, Journal Article
Brandt, MW; Kavajecz, KA
Published in: Journal of Finance
January 1, 2004
We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, 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.
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Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2004
Volume
59
Issue
6
Start / End Page
2623 / 2654
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
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Brandt, M. W., & Kavajecz, K. A. (2004). Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve. Journal of Finance, 59(6), 2623–2654. https://doi.org/10.1111/j.1540-6261.2004.00711.x
Brandt, M. W., and K. A. Kavajecz. “Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve.” Journal of Finance 59, no. 6 (January 1, 2004): 2623–54. https://doi.org/10.1111/j.1540-6261.2004.00711.x.
Brandt MW, Kavajecz KA. Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve. Journal of Finance. 2004 Jan 1;59(6):2623–54.
Brandt, M. W., and K. A. Kavajecz. “Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve.” Journal of Finance, vol. 59, no. 6, Jan. 2004, pp. 2623–54. Scopus, doi:10.1111/j.1540-6261.2004.00711.x.
Brandt MW, Kavajecz KA. Price discovery in the U.S. treasury market: The impact of orderflow and liquidity on the yield curve. Journal of Finance. 2004 Jan 1;59(6):2623–2654.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2004
Volume
59
Issue
6
Start / End Page
2623 / 2654
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment