Price discovery in a market under stress
Subtitle: the u.s. treasury market in fall 1998
By: Craig H. Furfine, Eli M. Remolona.
Contributors: Remolona, Eli M.; Federal Reserve Bank of Chicago. Research Dept.
Series: Working paper series ;; WP-2005-06; Working paper series (Federal Reserve Bank of Chicago. Research Dept. : Online) ;; WP-2005-06.
Publisher: Federal Reserve Bank of Chicago
Published: 2005
Place of publication: [Chicago, Ill.]
Language: eng
Format: Electronic resource
Subjects: Government securities -- Econometric models.; Treasury bills -- Prices -- United States -- Econometric models.
Description: "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.
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.