Data and Code for: U.S. Treasury Auctions: A High Frequency Identification of Supply Shocks
Principal Investigator(s): View help for Principal Investigator(s) Maxime Phillot, University of Lausanne
Version: View help for Version V1
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| data | 08/25/2024 04:18:PM | ||
| do | 08/25/2024 03:34:PM | ||
| figtab | 08/25/2024 03:25:PM | ||
| raw_confidential | 08/25/2024 03:21:PM | ||
| raw_public | 08/25/2024 03:17:PM | ||
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application/pdf | 208.5 KB | 08/25/2024 11:28:AM |
Project Citation:
Phillot, Maxime. Data and Code for: U.S. Treasury Auctions: A High Frequency Identification of Supply Shocks. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-12-20. https://doi.org/10.3886/E192741V1
Project Description
Summary:
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We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pertaining to U.S. Treasury announcements between 1998 and 2020. We study how supply affects financial markets through local projections, using shocks as instruments. We show that increases in Treasury supply cause an upward shift of the yield curve fueled partly by a higher term premium. Stock prices decline, volatility climbs and corporate bond yields increase. The risk premium rises, the equity premium falls, inflation expectations soar and the liquidity premium decreases.
Scope of Project
JEL Classification:
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E44 Financial Markets and the Macroeconomy
E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
H63 National Debt; Debt Management; Sovereign Debt
E44 Financial Markets and the Macroeconomy
E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
H63 National Debt; Debt Management; Sovereign Debt
Geographic Coverage:
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United States of America
Time Period(s):
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1998 – 2020
Collection Date(s):
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2020 – 2021
Data Type(s):
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administrative records data;
aggregate data;
event/transaction data
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