TY - JOUR
T1 - Supply Contraction and Trading Protocol: An Examination of Recent Changes in the U.S. Treasury Market
AU - Boni, Leslie
N1 - AS THE RESULT OF THREE YEARS of budget surpluses, U.S. public debt shrank by almost $363 billion (about 10 percent) during the period 1998 to 2000. (1) The Treasury redeemed maturing debt, retired debt prior to its maturity, and reduced the frequency and amounts of new issues.
PY - 2002/8
Y1 - 2002/8
N2 - We investigate liquidity and trader behavior in the U.S. Treasury market during recent supply contractions. As in the precontraction period, dealers employ expandable order strategies to achieve greater-than-posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater. Overall, however, dealers are less likely to discover greater-than-quoted depth during the supply contraction regimes. We find that, even after substantial losses in their market share of coupon Treasury trading, brokers reporting voice-brokered trading through GovPX provide an important protocol for depth discovery.
AB - We investigate liquidity and trader behavior in the U.S. Treasury market during recent supply contractions. As in the precontraction period, dealers employ expandable order strategies to achieve greater-than-posted depth at the posted price and use expandable orders more often when expected information asymmetry is greater. Overall, however, dealers are less likely to discover greater-than-quoted depth during the supply contraction regimes. We find that, even after substantial losses in their market share of coupon Treasury trading, brokers reporting voice-brokered trading through GovPX provide an important protocol for depth discovery.
UR - https://link.gale.com/apps/doc/A90220645/AONE?u=csumb_main&sid=bookmark-AONE&xid=a2ef0380
U2 - 10.1353/MCB.2002.0010
DO - 10.1353/MCB.2002.0010
M3 - Article
VL - 34
JO - Journal of Money, Credit and Banking
JF - Journal of Money, Credit and Banking
ER -