Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate

44 Pages Posted: 1 Mar 2007 Last revised: 20 Nov 2012

See all articles by Albert J. Menkveld

Albert J. Menkveld

VU Amsterdam; Tinbergen Institute

Asani Sarkar

Federal Reserve Bank of New York

Michel van der Wel

Erasmus University Rotterdam; CREATES; ERIM; Tinbergen Institute

Date Written: March 9, 2011


Macro announcements change the equilibrium riskfree rate. We find that treasury prices reflect part of the impact instantaneously, but intermediaries rely on their customer order flow after the announcement to discover the full impact. This customer flow informativeness is strongest when analyst macro forecasts are most dispersed. The result holds for 30-year treasury futures trading in both electronic and open-outcry markets. We further show that intermediaries benefit from privately recognizing informed customer flow, as their own-account trading profitability correlates with customer order access.

Keywords: riskfree rate, macroeconomic announcements, customer order flow, intermediary, treasury futures

JEL Classification: G14, E44

Suggested Citation

Menkveld, Albert J. and Sarkar, Asani and van der Wel, Michel, Customer Order Flow, Intermediaries, and Discovery of the Equilibrium Risk-free Rate (March 9, 2011). Journal of Financial and Quantitative Analysis (JFQA), 17, 821-849, Available at SSRN: or

Albert J. Menkveld (Contact Author)

VU Amsterdam ( email )

De Boelelaan 1105
Amsterdam, 1081HV
+31 20 5986130 (Phone)
+31 20 5986020 (Fax)

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS

Asani Sarkar

Federal Reserve Bank of New York ( email )

Research Department
33 Liberty Street
New York, NY 10045
United States
212-720-8943 (Phone)
212-720-1582 (Fax)


Michel Van der Wel

Erasmus University Rotterdam ( email )

Burg. Oudlaan 50
Rotterdam, NL 3062 PA

CREATES ( email )

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C

ERIM ( email )

P.O. Box 1738
3000 DR Rotterdam

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics