Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions

Michael Fleming, Weiling Liu and Giang Nguyen

No 1188, Staff Reports from Federal Reserve Bank of New York

Abstract: Using thirty-three years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is stronger or more elastic. More importantly, net order flow dominates in explaining the pressure, providing the first direct evidence that trading transmits dealer constraints into prices. Despite concerns about dealer capacity amid rapid federal debt growth, price pressure has not increased in recent years, partly because non-dealer participants now absorb more auction supply and ease dealers’ intermediation burden.

Keywords: Treasury auctions; dealer intermediation; order flow; Price pressure; Supply effects; risk bearing capacity; returns; demand elasticity; liquidity; frictions (search for similar items in EconPapers)
JEL-codes: E43 G12 G14 H63 (search for similar items in EconPapers)
Pages: 66
Date: 2026-03-01
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-mst
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DOI: 10.59576/sr.1188

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