EconPapers    
Economics at your fingertips  
 

Information shares in the U.S. treasury market

Bruce Mizrach and Christopher Neely

No 2005-070, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year Treasury futures typically exceeds 50% from 1998 on. Standard liquidity measures, including the proportion of trades and relative bid-ask spreads, explain daily information shares. These conclusions still hold when one controls for days of macroeconomic announcements. Finally, a 5-dimensional cointegrated system explains a high percentage of Treasury returns. In that system, the 30-year futures contract and the 5-year spot market dominate price discovery. ; Earlier title: The microstructure of bond market tatonnement; Price discovery in the U.S. treasury market

Keywords: bond; markets (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-fin and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Journal of Banking and Finance, July 2008, 32(7), pp. 1221-33

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2005/2005-070.pdf Full Text (application/pdf)

Related works:
Journal Article: Information shares in the US Treasury market (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2005-070

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2005.070

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().

 
Page updated 2025-03-31
Handle: RePEc:fip:fedlwp:2005-070