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

Name File Type Size Last Modified
  appendix 08/25/2024 03:24:PM
30April2014.pdf application/pdf 60.9 KB 08/25/2024 10:07:AM
IRF_financial.pdf application/pdf 81.9 KB 08/25/2024 10:10:AM
IRF_inflation.pdf application/pdf 67.2 KB 08/25/2024 10:12:AM
IRF_liquidity.pdf application/pdf 79 KB 08/25/2024 10:11:AM
IRF_rates.pdf application/pdf 80.3 KB 08/25/2024 10:09:AM
IRF_term.pdf application/pdf 78.5 KB 08/25/2024 10:12:AM
futures_close.pdf application/pdf 203.6 KB 08/25/2024 11:24:AM
shocks.pdf application/pdf 550.5 KB 08/25/2024 10:07:AM
shocks_corr.tex application/x-tex 750 bytes 08/25/2024 10:07:AM

Project Description

Summary:  View help for Summary
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:  View help for JEL Classification
      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:  View help for Geographic Coverage United States of America
Data Type(s):  View help for Data Type(s) administrative records data; aggregate data; event/transaction data


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Published Versions

V1 [2024-12-20]

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