Bibframe Work
TitlePrice discovery in a market under stressTypeTextMonographSubjectGovernment securities--Econometric models (LCSH)Treasury bills--Prices--United States--Econometric models (LCSH)Supplementary Contentbibliography Summary"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.Authorized Access PointFurfine, Craig Price discovery in a market under stress