Price discovery in a market under stress: the U.S. Treasury market in fall 1998

Craig H. Furfine and Eli Remolona

No WP-05-06, Working Paper Series from Federal Reserve Bank of Chicago

Abstract: We analyze how price discovery in the inter- dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year Treasury notes, we find that the impact of trades on prices tends to become significantly stronger on stressful days. This effect remains after accounting for the faster trading, wider spreads, and shallower depth observed on stressful days

Keywords: Prices; Liquidity (Economics) (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (7)

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