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.
Buy this book
Subjects
Econometric models, Government securities, Prices, Treasury billsPlaces
United StatesShowing 1 featured edition. View all 1 editions?
| Edition | Availability |
|---|---|
1
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
|
aaaa
|
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.
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?
| December 13, 2020 | Edited by MARC Bot | import existing book |
| December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
| December 10, 2009 | Created by WorkBot | add works page |