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END‐OF‐DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK
Author(s) -
Jordan Susan D.,
Kuipers David R.
Publication year - 2005
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.2005.00116.x
Subject(s) - treasury , bid price , bond , economics , monetary economics , rounding , business , open market operation , financial economics , financial system , finance , monetary policy , geography , computer science , archaeology , operating system
We compare end‐of‐day indicative U.S. Treasury prices from GovPX and the Federal Reserve Bank of New York (FRBNY). We find that the two sources rarely quote identical prices, and differences are not simply due to noise or rounding. The average bid price differential is 2 cents for notes and bonds, but it is only 1 / 10 of 1 cent for bills. Bid‐ask spreads in both sources appear to be largely artificial and contain limited information. Finally, we find that the end‐of‐day indicative FRBNY bid prices are closer to true intraday GovPX market quotes than end‐of‐day indicative quotes provided by GovPX itself.