The microstructure of the U.S. treasury market

Bruce Mizrach and Christopher Neely

No 2007-052, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.

Keywords: Government; securities (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-fmk and nep-mst
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Citations: View citations in EconPapers (10)

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