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dc.contributor.authorMenkveld, Albert J.en_US
dc.contributor.authorSarkar, Asanien_US
dc.contributor.authorvan der Wel, Michelen_US
dc.date.accessioned2012-08-17T14:29:15Z-
dc.date.available2012-08-17T14:29:15Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/60709-
dc.description.abstractCustomer 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—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 “surprise.”en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 307en_US
dc.subject.jelG14en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keyworddiscount rate, macroeconomic announcements, customer order flow, intermediary, Treasury futures, informativenessen_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwWertpapierhandelen_US
dc.subject.stwWertpapiertermingeschäften_US
dc.subject.stwBörsenmakleren_US
dc.titleMacro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futuresen_US
dc.typeWorking Paperen_US
dc.identifier.ppn551404965en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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