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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Menkveld, Albert J. | en |
dc.contributor.author | Sarkar, Asani | en |
dc.contributor.author | van der Wel, Michel | en |
dc.date.accessioned | 2012-08-17T14:29:15Z | - |
dc.date.available | 2012-08-17T14:29:15Z | - |
dc.date.issued | 2007 | - |
dc.identifier.uri | http://hdl.handle.net/10419/60709 | - |
dc.description.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—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 |
dc.language.iso | eng | en |
dc.publisher | |aFederal Reserve Bank of New York |cNew York, NY | en |
dc.relation.ispartofseries | |aStaff Report |x307 | en |
dc.subject.jel | G14 | en |
dc.subject.jel | E44 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | discount rate, macroeconomic announcements, customer order flow, intermediary, Treasury futures, informativeness | en |
dc.subject.stw | Ankündigungseffekt | en |
dc.subject.stw | Wertpapierhandel | en |
dc.subject.stw | Wertpapiertermingeschäft | en |
dc.subject.stw | Börsenmakler | en |
dc.title | Macro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futures | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 551404965 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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