US Treasury Auctions: A High-Frequency Identification of Supply Shocks
利用1998至2020年美国国债拍卖数据，通过公告前后期货价格变化识别供给冲击，研究其对收益率曲线、股票价格、公司债收益率等金融市场变量的影响。
We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pertaining to US Treasury announcements between 1998 and 2020. We study how supply affects financial markets through local projections, using shocks as instruments. We show that increases in Treasury supply cause an upward shift of the yield curve fueled partly by a higher term premium. Stock prices decline, volatility climbs, and corporate bond yields increase. The risk premium rises, the equity premium falls, inflation expectations soar, and the liquidity premium decreases.