Price discovery in the U.S treasury market : the impact of orderflow and liquidity on the yield curve

Deskripsi

We examine the role of price discovery in the U.S. treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances ( excess buying or selling pressure ) account for up to 26 % of the day-to-day variation in yields on days without major macroeconomic announcements..Printed Journal