Exhibit 1: Treasury Bid-Ask Spreads
Exhibit 1: Treasury Bid-Ask Spreads
256ths 9
2-year
5-year
10-year
8
7
6
5
4
3
2
1
0 2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Source: FRBNY staff calculations, based on data from BrokerTec. Notes: The exhibit plots 21-day moving averages of average daily bid-ask spreads for on-the-run notes. Spreads are measured in 256ths of a point, where a point equals one percent of par.
Exhibit 2: Treasury Depth
Millions USD 2500
2-year
5-year
10-year
2000
1500
1000
500
0 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015
Source: FRBNY staff calculations, based on data from BrokerTec. Notes: The exhibit plots 21-day moving averages of average daily depth for on-the-run notes. Depth is defined as the sum of all bid and ask orders at the first level (lowest ask, highest bid) of the order book.
Exhibit 3: Treasury Price Impact
256ths per 100 Million USD 18
2-year
5-year
10-year
16
14
12
10
8
6
4
2
0 2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Source: FRBNY staff calculations, based on data from BrokerTec. Notes: The exhibit plots four-week moving averages of price impact coefficients for on-the-run notes. The coefficients are estimated from weekly regressions of five-minute price changes on five-minute signed trading volume.
Exhibit 4: Treasury Trade Size
Millions USD 25
2-year
5-year
10-year
20
15
10
5
0 2005
2006
2007
2008
2009
2010
2011
Source: FRBNY staff calculations, based on data from BrokerTec. Note: The exhibit plots 21-day moving averages of average daily trade size for on-the-run notes.
2012
2013
2014
2015
Exhibit 5: Treasury Yield Curve Fitting Errors
Basis Points 25
20
15
10
5
0 2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
Source: FRBNY staff calculations, based on data from the Federal Reserve Board. Notes: The exhibit plots the 21-day moving average of absolute yield curve fitting errors for two- to ten-year coupon securities from the Nelson-SiegelSvensson model of Gurkaynak, Sack, and Wright (described in "The U.S. Treasury Yield Curve: 1961 to Present," Journal of Monetary Economics 54, [2007]).
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