Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
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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
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美国国家经济研究局创建时间：
2003-03-01
