The Microstructure of the U.S. Treasury Market

FRB St. Louis Working Paper No. 2007-052B

29 Pages Posted: 12 Dec 2007

See all articles by Bruce Mizrach

Bruce Mizrach

Rutgers University, Department of Economics

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

Date Written: April 2008

Abstract

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.

Keywords: Treasury, microstructure, spreads, order book, announcement

JEL Classification: D53, E43, E44, G12

Suggested Citation

Mizrach, Bruce and Neely, Christopher J., The Microstructure of the U.S. Treasury Market (April 2008). FRB St. Louis Working Paper No. 2007-052B, Available at SSRN: https://ssrn.com/abstract=1070226 or http://dx.doi.org/10.2139/ssrn.1070226

Bruce Mizrach (Contact Author)

Rutgers University, Department of Economics ( email )

75 Hamilton Street
New Brunswick, NJ 08901
United States
(848) 932-8636 (Phone)
(732) 932-7416 (Fax)

HOME PAGE: http://snde.rutgers.edu/

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint Louis, MO 63011
United States
314-444-8568 (Phone)
314-444-8731 (Fax)

HOME PAGE: http://www.stls.frb.org/research/econ/cneely/

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