JOURNAL ARTICLE

Price Pressure and Price Discovery in the Term Structure of Interest Rates.

  • Published In: Journal of Fixed Income, 2025, v. 35, n. 2. P. 87 1 of 3

  • Database: Business Source Ultimate 2 of 3

  • Authored By: Mixon, Scott; Tuzun, Tugkan 3 of 3

Abstract

We use a latent factor term structure model to decompose US Treasury yield curve movements into a transitory, price pressure effect due to dealer inventories and a virtually permanent change related to order flow. Dealer inventories are important in explaining yield curve dynamics with futures exposure at the short end of the yield curve having less price pressure effect than cash exposure. Price discovery in the level and the slope of interest rates is linked more to long-term Treasury futures than to long-term Treasury cash securities. [ABSTRACT FROM AUTHOR]

Additional Information

  • Source:Journal of Fixed Income. 2025/10, Vol. 35, Issue 2, p87
  • Document Type:Article
  • Subject Area:Business and Management
  • Publication Date:2025
  • ISSN:1059-8596
  • DOI:10.3905/jfi.2025.1.212
  • Accession Number:188764307
  • Copyright Statement:Copyright of Journal of Fixed Income is the property of With Intelligence Limited and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

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