This paper examines intra-day trading data from the inter-dealer broker market for U.S. Treasury securities and measures the degree of price pressure in the off-the-run Treasury market. As is well known, securities that would appear to be very close substitutes, i.e., on-the-run and off-the-run Treasury bonds, behave as if there is some degree of market segmentation. This is the first systematic study of the off-the-run Treasury note and bond market to investigate a price pressure effect using intra-day data. It analyzes price pres-sure through matched pairs of securities that differ only in liquidity.
CRA welcomes two new vice presidents to the Forensic Services Practice
CRA is pleased to announce the addition of Jeffrey Garfield and Waqas Shahid to the firm’s Forensic Services Practice as Vice Presidents. Jeffrey A. Garfield...