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Full-Text Articles in Social and Behavioral Sciences
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James Forest
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James Forest
James J Forest
In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest
The Effect Of Treasury Auction Announcements On Interest Rates: 1990-1999, James J. Forest
James J Forest
In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on …
A High-Frequency Analysis Of Trading Activity In The Corporate Bond Market: Do Macro Announcements Drive Activity?, James Forest, Brian Berry
A High-Frequency Analysis Of Trading Activity In The Corporate Bond Market: Do Macro Announcements Drive Activity?, James Forest, Brian Berry
James J Forest
Herein we explore whether macroeconomic announcements are a driving factor in the trading activity of US corporate bond market. Prior studies have documented a strong response of bond returns and interest rates to surprises in macroeconomic data in the US Treasury and Treasury futures markets. Likewise, studies have also documented that trading activity changes sharply, based on informational impulses provided by the release of economic data. We contribute to the existing literature by examining how both daily and intraday measures of trading activity are impacted by surprises in macro data. Our main findings are that the thinly-traded market for corporate …