The microstructure of the TIPS market

Michael Fleming and Neel Krishnan

No 414, Staff Reports from Federal Reserve Bank of New York

Abstract: We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the mid-to-late morning. Announcement effects also differ from the nominal market, with auction results and consumer price index announcements eliciting particularly sharp increases in trading activity.

Keywords: Treasury bonds; Inflation-indexed bonds; Liquidity (Economics) (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: The microstructure of the TIPS market (2012)
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