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Title:The microstructure of the TIPS market PDF Logo
Authors:Fleming, Michael J.
Krishnan, Neel
Issue Date:2009
Series/Report no.:Staff Report, Federal Reserve Bank of New York 414
Abstract:We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the mid-to-late morning. Announcement effects also differ from the nominal market, with auction results and consumer price index announcements eliciting particularly sharp increases in trading activity.
Subjects:Treasury inflation-protected securities
liquidity
seasonality
announcements
JEL:G14
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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