@techreport{Menkveld2007Macro,
abstract = {Customer order flow correlates with permanent price changes in equity and non-equity markets. We examine macro news events in the thirty-year Treasury futures market to identify causality from customer flow to risk-free rates. We remove the positive feedback trading effect and establish that, in the fifteen minutes subsequent to the news, intermediaries rely on customer orders to determine a substantial part of the announcement's effect on risk-free rates\textemdash{}about one-third relative to the instantaneous effect. Intermediaries appear to benefit from privately observing informed customers, since their own-account trade profitability correlates with access to customer flow, controlling for volatility, competition, and the macro \textquotedblleft{}surprise.\textquotedblright{}},
address = {New York, NY},
author = {Albert J. Menkveld and Asani Sarkar and Michel van der Wel},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G14; E44; 330; discount rate, macroeconomic announcements, customer order flow, intermediary, Treasury futures, informativeness; Ank\"{u}ndigungseffekt; Wertpapierhandel; Wertpapiertermingesch\"{a}ft; B\"{o}rsenmakler},
language = {eng},
number = {307},
publisher = {Federal Reserve Bank of New York},
title = {Macro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futures},
type = {Staff Report, Federal Reserve Bank of New York},
url = {http://hdl.handle.net/10419/60709},
year = {2007}
}
