Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
收藏NBER2003-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w9529
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资源简介：
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) can account for as much as 26 percent of the day-to-day variation in yields
提供机构：
美国国家经济研究局
创建时间：
2003-03-01
