TY  - JOUR
AU  - Brandt,Michael W.
AU  - Kavajecz,Kenneth A.
TI  - Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9529
PY  - 2003
Y2  - March 2003
UR  - http://www.nber.org/papers/w9529
L1  - http://www.nber.org/papers/w9529.pdf
N1  - Author contact info:
Michael W. Brandt
Fuqua School of Business
Duke University
Box 90120
One Towerview Drive
Durham, NC  27708
Tel: 919/660-1948
Fax: 919/660-8038
E-Mail: mbrandt@duke.edu

Kenneth Kavajecz
Finance Department
University of Wisconsin- Madison
975 University Ave.
Madison, WI  53706
E-Mail: kkavajecz@bus.wisc.edu
M1  - published as Brandt, Michael W. and Kenneth A. Kavajecz. "Price Discovery In The U.S. Treasury Market: The Impact Of Orderflow And Liquidity On The Yield Curve," Journal of Finance, 2004, v59(6,Dec), 2623-2654.
AB  - 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 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 on understanding the behavior of the yield curve.
ER  -