End-of-Day Pricing in the U.S. Treasury Market: A Comparison of Govpx and the Frbny

Posted: 22 Nov 2004

See all articles by Susan D. Jordan

Susan D. Jordan

University of Kentucky - Finance

David R. Kuipers

University of Missouri at Kansas City - Department of Finance, Information Management, and Strategy

Abstract

We compare end-of-day indicative U.S. Treasury prices from GovPX and the Federal Reserve Bank of New York (FRBNY). We find that the two sources rarely quote identical prices, and differences are not simply due to noise or rounding. The average bid price differential is 2 cents for notes and bonds, but it is only 1/10 of 1 cent for bills. Bid-ask spreads in both sources appear to be largely artificial and contain limited information. Finally, we find that the end-of-day indicative FRBNY bid prices are closer to true intraday GovPX market quotes than end-of-day indicative quotes provided by GovPX itself.

Keywords: Treasury Market, GovPX, FRBNY

JEL Classification: G10

Suggested Citation

Jordan, Susan D. and Kuipers, David R., End-of-Day Pricing in the U.S. Treasury Market: A Comparison of Govpx and the Frbny. Available at SSRN: https://ssrn.com/abstract=527603

Susan D. Jordan (Contact Author)

University of Kentucky - Finance ( email )

Gatton College of Business & Economics
University of Kentucky
Lexington, KY 40506-0034
United States
859-257-1626 (Phone)

David R. Kuipers

University of Missouri at Kansas City - Department of Finance, Information Management, and Strategy ( email )

Kansas City, MO 64110
United States

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