An edition of Price discovery in a market under stress
(2005)
Price discovery in a market under stress
the u.s. treasury market in fall 1998
by Craig Furfine
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"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.
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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
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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.
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