Arbeitspapier
The microstructure of the TIPS market
We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the mid-to-late morning. Announcement effects also differ from the nominal market, with auction results and consumer price index announcements eliciting particularly sharp increases in trading activity.
- Sprache
-
Englisch
- Erschienen in
-
Series: Staff Report ; No. 414
- Klassifikation
-
Wirtschaft
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Treasury inflation-protected securities
liquidity
seasonality
announcements
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Fleming, Michael J.
Krishnan, Neel
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of New York
- (wo)
-
New York, NY
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Fleming, Michael J.
- Krishnan, Neel
- Federal Reserve Bank of New York
Entstanden
- 2009
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