US Treasury Auctions: A High-Frequency Identification of Supply Shocks

• 成果类型: Article
• 署名作者: Phillot, Maxime
• 署名单位: University of Lausanne
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20210243
• 发表日期: 2025
• 页码: 245-273
• 关键词: monetary-policy surprises; Liquidity premium; interest-rates; public debt; MARKET; news; macroeconomics; INFORMATION; responses; PRIVATE

摘要

We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pertaining to US Treasury announcements between 1998 and 2020. We study how supply affects financial markets through local projections, using shocks as instruments. We show that increases in Treasury supply cause an upward shift of the yield curve fueled partly by a higher term premium. Stock prices decline, volatility climbs, and corporate bond yields increase. The risk premium rises, the equity premium falls, inflation expectations soar, and the liquidity premium decreases.