Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
研究美国国债市场中订单流、流动性与收益率曲线的关系，发现订单流不平衡可解释无重大宏观公告日收益率变动的26%，且流动性低时影响更强，表明价格发现对理解收益率曲线行为很重要。
ABSTRACT We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day‐to‐day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity is low. All of the evidence points toward an important role of price discovery in understanding the behavior of the yield curve.