Macroeconomic Announcements and the Distribution of Price-Endings in the U.S. Treasury Market

Andrei Nikiforov, Eugene Pilotte

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

We investigate how new information impacts quote clustering in the bond market. We find that clustering, along with quote activity, price volatility and bid-ask spreads, increases sharply in the minutes following releases of macroeconomic news. Each returns to near-normal levels within the hour. Effects are strongest for more liquid on-the-run notes and for the announcements typically associated with substantial information flow. The strong positive comovement of clustering, quote activity, price volatility, and bid-ask spreads supports the conclusion that innovations of these variables are endogenous to the arrival and incorporation of information into prices.

Original languageEnglish (US)
Pages (from-to)69-100
Number of pages32
JournalFinancial Review
Volume52
Issue number1
DOIs
StatePublished - Feb 1 2017

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

Keywords

  • U.S. Treasury securities
  • clustering
  • macroeconomic announcements
  • price resolution

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