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dc.contributor.authorMenkveld, Albert J.en
dc.contributor.authorSarkar, Asanien
dc.contributor.authorvan der Wel, Michelen
dc.date.accessioned2012-08-17T14:29:15Z-
dc.date.available2012-08-17T14:29:15Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x307en
dc.subject.jelG14en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keyworddiscount rate, macroeconomic announcements, customer order flow, intermediary, Treasury futures, informativenessen
dc.subject.stwAnkündigungseffekten
dc.subject.stwWertpapierhandelen
dc.subject.stwWertpapiertermingeschäften
dc.subject.stwBörsenmakleren
dc.titleMacro news, risk-free rates, and the intermediary: Customer orders for thirty-year treasury futures-
dc.typeWorking Paperen
dc.identifier.ppn551404965en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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