What makes T-bond prices jump?
Price jumps in US Treasury bonds occur mostly during prescheduled macroeconomic announcements or events, finds a new paper from the Bank of Canada.
The authors show that a macroeconomic news announcement is often preceded by an increase in market volatility and a withdrawal of liquidity, and that these liquidity shocks play an important part in pushing prices up in the US Treasury market.
To read the paper, click here
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