Price discovery in a market under stress
the u.s. treasury market in fall 1998
by Craig Furfine
"We analyze how price discovery in the inter-dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year Treasury notes, we find that the impact of trades on prices tends to become significantly stronger on stressful days. This effect remains after accounting for the faster trading, wider spreads, and shallower depth observed on stressful days"--Federal Reserve Bank of Chicago web site.
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Subjects
Econometric models, Government securities, Prices, Treasury billsPlaces
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Price discovery in a market under stress: the u.s. treasury market in fall 1998
2005, Federal Reserve Bank of Chicago
Electronic resource
in English
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Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 10/22/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
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- Created April 1, 2008
- 5 revisions
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| December 13, 2020 | Edited by MARC Bot | import existing book |
| July 29, 2012 | Edited by VacuumBot | Updated format '[electronic resource] :' to 'Electronic resource' |
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| October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
| April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |