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.
Compliance solutions for pandemic-related fraud risks
When the COVID-19 pandemic struck the US in March 2020, office environments, supply chains and traditional ways of doing business evaporated in mere weeks....