This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury...

This paper examines the ability of government bond fund managers to time the market, based on their holdings of Treasury securities during the period 1997-2006. We find that, on average, government bond fund managers exhibit significant and positive timing ability at the one-month horizon, under a holdings-based timing measure. In particular, fund managers specializing in Treasury securities ar...

This decline in mortgage interest rates mirrored a fall in the 10-year Treasury bond yield (the interest rate on the bond), as shown in the left panel of Figure 1. In fact—as shown in the right panel of Figure 1—mortgage interest rates almost always mirror the yields on long-term Treasury bonds because they respond to the same forces. What factors drove the sharp declines in yields on 10-year T...

A method is described for mapping the plasma parameters nearby a hollow cathode using a high speed positioning system and a segment-shielded electrostatic probe. Contour maps of plasma density, plasma potential, and electron temperature are presented for wide ranges of discharge current (2 20 A) and xenon flow rate (1.5 – 4.5 sccm). The contour maps are constructed from the analysis of 320 I-V ...

We assess the microstructure of the U.S. Treasury securities market following its migration to electronic trading. We model price discovery using a vector autoregression model of price and order flow. We show that both trades and limit orders affect price dynamics, suggesting that traders also choose limit orders to exploit their information. Moreover, while limit orders have smaller price impa...

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