U.S. Treasury Auction Yields Before and During Quantitative Easing: Market Factors vs.Auction Specific Factors

Catherine Mann and Oren Klachkin ()
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Oren Klachkin: International Business School, Brandeis University

No 67, Working Papers from Brandeis University, Department of Economics and International Business School

Abstract: We construct a dataset for every U.S. Treasury auction from 2003 to 2012. We find that market factors known before the auction -- FedFunds rate, S&P, VIX -- are all significant for the auction high-yield, but the relationships differ before vs. during QE and between Bond and Bills auctions. Auction-specific innovations matter for the auction high-yield. Bills auctions have a forecastable component based on information from the previous auction of that maturity. Bidder types may differ systematically. Indirect bidders in the Bond auctions may bid relatively ‘low’ compared to the average bid and Primary Dealers may bid ‘high’. These relationships differ before vs. during QE. These results suggest that quantitative easing implemented in the secondary market has affected the auction market for U.S. Treasury securities.

Keywords: Federal Reserve; quantitative easing; foreign official; Dutch auction; US Treasury securities (search for similar items in EconPapers)
JEL-codes: E43 E58 F34 F49 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-01
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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http://www.brandeis.edu/economics/RePEc/brd/doc/Brandeis_WP67.pdf First version, 2014 (application/pdf)

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