The Effect of Treasury Auction Results on Interest Rates: The 1990s Experience

40 Pages Posted: 21 Sep 2009 Last revised: 23 Mar 2018

See all articles by James J. Forest

James J. Forest

University of Massachusetts - Amherst

Date Written: March 19, 2018


Herein, I examine the secondary-market response of U.S. Treasury returns to pre-auction announcements of supply volumes and post-auction announcements of results from U.S. Treasury auctions during the declining-deficit period of the 1990s. Rate changes are found to differ significantly on auction days for one-year bills. I also find that surprises in the release of bid-to-cover ratios and noncompetitive bidding affect Treasury 30-year returns significantly. Other maturities, however, are relatively unaffected. These results suggest that, during the 1990s, the U.S. Treasury’s financing operations were conducted in a manner that exerted no more pressure on the market than that of many regularly-scheduled macroeconomic announcements. The results complement the recent study by Lou, Yan and Zhang (2013) and show the benefits of controlling macroeconomic announcements in analyzing market responses to Treasury auctions.

Keywords: Treasury auctions, GARCH modeling, Interest rates, Volatility, Federal Reserve, Monetary policy, Macroeconomic announcements

JEL Classification: E44, E52, G1, G2

Suggested Citation

Forest, James J., The Effect of Treasury Auction Results on Interest Rates: The 1990s Experience (March 19, 2018). Available at SSRN: or

James J. Forest (Contact Author)

University of Massachusetts - Amherst

Department of Finance
Amherst, MA 01003
United States

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