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Working Paper 2007-052B

"The Microstructure of the U.S. Treasury Market"
by Bruce Mizrach, and Christopher J. Neely

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the findings of the seasonality/announcement and order book literature; and research on price discovery. We conclude by discussing possible future avenues of research.

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Category > Finance
Category > Monetary Policy/Macroeconomics
Author > Christopher J. Neely
Research Papers and Publications: JEL Code > D53
Research Papers and Publications: JEL Code > E43
Research Papers and Publications: JEL Code > E44
Research Papers and Publications: JEL Code > G12