首页 | 本学科首页   官方微博 | 高级检索  
     检索      


The on-the-run liquidity phenomenon
Authors:Paolo Pasquariello  Clara Vega
Institution:1. Ross School of Business, University of Michigan, Ann Arbor, MI 48109, USA;2. Federal Reserve Board of Governors, Washington, DC 20551, USA
Abstract:We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions—information heterogeneity and imperfect competition among informed traders—and a public signal. Our evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds’ intrinsic characteristics (such as duration, convexity, repo rates, or term premiums), and (ii) off/on-the-run liquidity differentials are smaller immediately following bond auction dates, and larger when the uncertainty surrounding the ensuing auction allocations is high, when the dispersion of beliefs across informed traders is high, and when macroeconomic announcements are noisy, consistent with our model.
Keywords:E44  G14
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号