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

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.     

美国高收益债券风险特征与投资者保护机制探讨

我国债券市场即将推出中小企业高收益债,对高收益债的风险防范和投资者保护是其制度设计的关键。美国是全球最大的高收益债券市场,2011年余额达到1.5万亿美元,同时拥有144A等灵活的私募法规。其高收益债的风险特征如何?怎样保护投资者?有哪些经验可资借鉴?基于此,本文对美国高收益债券市场的风险特征和投资者保护机制进行了详实的研究,发现美国经验对我国的启示在于:首先,建立良好的契约制度以保证高收益债市场的稳定发展;其次,制定合适的私募债券与合格投资者法规作为高收益债券发行与交易的风险控制机制;最后,近期可考虑成立风险基金作为高收益债的过渡性保障工具,中长期可通过高收益债券的投资组合和发展信用风险产品来规避违约风险。     

Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

This article develops and empirically implements an arbitrage-free,dynamic term structure model with "priced" factor and regime-shiftrisks. The risk factors are assumed to follow a discrete-timeGaussian process, and regime shifts are governed by a discrete-timeMarkov process with state-dependent transition probabilities.This model gives closed-form solutions for zero-coupon bondprices, an analytic representation of the likelihood functionfor bond yields, and a natural decomposition of expected excessreturns to components corresponding to regime-shift and factorrisks. Using monthly data on U.S. Treasury zero-coupon bondyields, we show a critical role of priced, state-dependent regime-shiftrisks in capturing the time variations in expected excess returns,and document notable differences in the behaviors of the factorrisk component of the expected returns across high and low volatilityregimes. Additionally, the state dependence of the regime-switchingprobabilities is shown to capture an interesting asymmetry inthe cyclical behavior of interest rates. The shapes of the termstructure of volatility of bond yield changes are also verydifferent across regimes, with the well-known hump being largelya low-volatility regime phenomenon.     

The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market

This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and future liquidity.We compare a variety of (microstructure-based) direct measures of liquidity to compare their effects on prices.We show that the liquidity premium depends primarily on the amount of remaining future liquidity.     

美国高收益债券市场的发展及启示

高收益债券是信用等级低于投资级别的债券,因此又被称为垃圾债券或投机级债券。该类债券的发行人通常是那些高速发展但缺乏现金流的成长企业、高负债的企业或是进行杠杆收购的投     

Price discovery in the round-the-clock U.S. Treasury market

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher on Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.     

Foreign holdings of U.S. Treasuries and U.S. Treasury yields

Foreign official holdings of U.S. Treasuries increased from $400 billion in January 1994 to about $3 trillion in June 2010. Most of this growth is accounted for by a handful of emerging market economies that have been running large current account surpluses. These countries are channeling their savings through the official sector, which is then acquiring foreign exchange reserves. Any shift in policy to reduce their current account surpluses or dampen the rate of reserves accumulation would likely slow the pace of foreign official purchases of U.S. Treasuries. Would such a slowing of foreign official purchases of Treasury notes and bonds affect long-term Treasury yields? Most likely yes, and the effects appear to be large. By our estimates, if foreign official inflows into U.S. Treasuries were to decrease in a given month by $100 billion, 5-year Treasury rates would rise by about 40–60 basis points in the short run. But once we allow foreign private investors to react to the yield change induced by the shock to foreign official inflows, the long-run effect is about 20 basis points.     

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

The arrival of public information in the U.S. Treasury market sets off a two-stage adjustment process for prices, trading volume, and bid-ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramatically at announcement, evidently driven by inventory control concerns. In a prolonged second stage, trading volume surges, price volatility persists, and spreads remain moderately wide as investors trade to reconcile residual differences in their private views.     

Modeling trade duration in U.S. Treasury markets

This paper models the trading intensity of the US Treasury bond market, which has a unique expandable limit order book that distinguishes it from other asset markets. The results indicate that trade duration exhibits significant clustering and that the time taken to expand the tradable volume, known as ‘workup’, significantly decreases the time between the initiation of consecutive trades. Finally, we find that trade duration falls in the presence of scheduled news releases, but the size of the surprise in that news release is not found to be important.     

New Issue Yield Spreads in the 30-Year Treasury Bond Market

This paper investigates the seasoning process of yield spreads between newly issued and seasoned 30-year Treasury bonds. These securities provide a unique data set for analyzing this relationship in that they allow for control of noncoupon differences between securities that were present in previous studies on corporate bonds. The results indicate that, in contrast to the existing literature, there appears to be a price premium for newly issued securities. We attribute this difference primarily to be a function of a higher degree of liquidity inherent to newly issued Treasury bonds.     

From pit to electronic trading: Impact on price volatility of U.S. Treasury futures

This paper investigates the dynamics of price volatility and trading volume of 10-year U.S. Treasury note futures within the context of transition from pit to electronic trading. The analysis is conducted over four discernible phases of futures trading evolution: the pit-only phase, the leap to electronic trading, and the electronic trading dominant phase, which is divided further into two periods, the before and after the financial crisis of 2007/2009. Generalized autoregressive conditional heteroskedasticity with in-mean conditional variance and generalized error distribution parameterization (GARCH-M-GED) tests are conducted to examine the conditional volatility of total returns index as a function of trading volume. The empirical results show a consistently negative relationship between the trading volume and price volatility for all four analyzed phases. They also show decreasing leptokurtosis (except for the direct effects of the recent crisis), continuously high persistency in volatility, as well as a weakening impact of unexpected ARCH-type shocks during the most recent analyzed period. Overall, the shift to electronic trading entails a substantial increase in trading volume, but not in price volatility of Treasury futures.     

Information in the U.S. Treasury Term Structure of Interest Rates

We provide evidence of a significant change in the information content of the U.S. Treasury term structure of interest rates over the last 20 years. We apply a regression approach to measure the information in forward interest rates and introduce both a curve fitting method and an alternative data source. We find more information in the recent U.S. Treasury term structure about future interest rates than about expected holding period returns. These results document a significant departure from prior empirical findings.     

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

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. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery in understanding the behavior of the yield curve.     

美国国债收益率曲线倒挂与经济前景展

美国债收益率曲线自2018年底走平到目前出现的倒挂现象引发了市场和政策当局 的广泛关注。本文首先从收益率曲线的基本概念出发,回顾了历史上美国债券收益率曲线和经 济衰退之间的关系。研究发现,美国国债收益率曲线倒挂是预测美国经济衰退的一个较为可 靠的先行指标。然而,由于危机以来美联储货币政策操作模式已发生显著变化,此次收益率曲 线倒挂尽管仍可作为预测美国经济衰退的重要参考指标,但在可靠程度上可能会面临较大不 确定性。同时,又因美国目前的经济基本面总体向好,因此短期内发生经济衰退的可能性并不 大。最后,由于目前特朗普政府政策对美联储货币政策立场存在倒逼机制,因此未来政府政策 的不确定性或将成为左右美国经济走向的关键因素。     

The U.S. Treasury yield curve: 1961 to the present

The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers and practitioners do not have available to them a long history of high-frequency yield curve estimates. This paper fills that void by making public the Treasury yield curve estimates of the Federal Reserve Board at a daily frequency from 1961 to the present. We use a well-known and simple smoothing method that is shown to fit the data very well. The resulting estimates can be used to compute yields or forward rates for any horizon. We hope that the data, which are posted on the website http://www.federalreserve.gov/pubs/feds/2006 and which will be updated quarterly, will provide a benchmark yield curve that will be useful to applied economists.     

美国债券市场上扬

投资债券划算 自去年以来,全球债券市场跑赢了股市,债券基金的高效运作和低风险特点吸引了众多投资者.据ICI机构统计,今年四月份,流入股票基金的资金从三月份的296亿美元减少至118亿美元,减幅为60.14%;而流入债券基金的资金却从67亿美元增至78亿美元,增幅为16.42%,这一减一增缩小了两者之间的差距.     

A Test of the Eclectic Paradigm: Evidence From the U.S. Reinsurance Market

This study provides a test of the eclectic paradigm with data from U.S. reinsurers. The U.S. reinsurance industry provides a unique setting to test the eclectic paradigm due to the extensive data available on U.S. reinsurers and the well‐developed literature related to reinsurance. The ability to test the hypotheses related to the eclectic paradigm in a service industry and incorporate industry‐specific factors adds to the eclectic paradigm literature which has traditionally focused primarily on manufacturing firms. In addition, the application of the eclectic paradigm to the reinsurance industry provides an empirical framework that combines several prior streams of literature which examine the reinsurer's decision to internationalize. The current study includes firm‐specific factors, country‐specific factors of the international markets, and factors related to the U.S. reinsurance industry. This article finds support for traditional factors impacting globalization such as host market size, loss experience, and competitiveness as well as reinsurer's ability to expand based on available capacity. Understanding the importance of firm‐, country‐, and industry‐specific factors is key for managers, as analyzing these issues in isolation may lead to an incomplete picture of the factors impacting the internationalization decision, hindering managers' ability to make decisions that are in the best interest of the firm. With the continued interdependence of the world reinsurance marketplace, as well as the recent expansion of the European Union, internationalization issues are of critical importance not only to U.S. insurers, reinsurers, and regulators, but also to their global counterparts.     

活跃的美国社区金融

社区金融活动在美国的经济金融运行中占据了相当重要的地位,这些以社区银行为代表的区域性的金融机构在大状银行的市场竞争压力下获得了活跃的发展空间.     

国债收益率对信贷市场均衡的影响

国债市场规模的扩大可以满足机构投资者的收益性和流动性偏好,机构投资者投资组合的调整使得国债具有影响信贷市场均衡的功效:国债收益率变化影响信贷市场利率和信贷市场均衡规模。实证研究表明,在协整关系上国债收益率和信贷资金增长率具有负相关关系,表明国债收益率上升对信贷资金增长率具有降低作用,不过效果不明显,不足以成为影响信贷市场资金规模的原因。国债收益率和信贷资金增长率不互为因果关系,这与中国国债规模偏小、持有者结构不合理和交易所国债市场逐渐边缘化的趋向有关。