The on-the-run liquidity phenomenon

• 成果类型: Article
• 署名作者: Pasquariello, Paolo; Vega, Clara
• 署名单位: University of Michigan System; University of Michigan; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.04.005
• 发表日期: 2009
• 页码: 1-24
• 关键词: Treasury bond markets; liquidity; On-the-rum bonds; Off-the-run bonds; macroeconomic news announcements

摘要

We test the implications of a model of multi-asset speculative trading in which liquidity differentials between on-the-run and off-the-run U.S. Treasury bonds ensue from endowment shocks in the presence of two realistic market frictions-information heterogeneity and imperfect competition among informed traders-and a public signal. Cur evidence suggests that (i) off/on-the-run liquidity differentials are economically and statistically significant, even after controlling for several of the bonds' intrinsic characteristics (such as duration, convexity, repo rates, or term premiums), and (ii) off/on-the-run liquidity differentials are smaller immediately following bond auction dates, and larger when the uncertainty surrounding the ensuing auction allocations is high, when the dispersion of beliefs across informed traders is high, and when macroeconomic announcements are noisy, consistent with our model. (C) 2009 Published by Elsevier B.V.