New York Fed: 'Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions'
March 25, 2026
March 25, 2026
NEW YORK, March 25 (TNSLrpt) -- The Federal Reserve Bank of New York issued the following staff report (No. 1188) in March 2026 by Michael J. Fleming, Weiling Liu, and Giang Nguyen entitled "Intraday Price Pressure and Order Flow Around U.S. Treasury Auctions."
Here are excerpts:
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Using thirty-three years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auct . . .
Here are excerpts:
* * *
Using thirty-three years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auct . . .