END-OF-DAY PRICING IN THE U.S. TREASURY MARKET: A COMPARISON OF GovPX AND THE FEDERAL RESERVE BANK OF NEW YORK

Authors


  • We thank William T. Moore (the editor), Michael Fleming (the referee), Brad Jordan, Raymond Brooks, Arthur Warga, Sattar Mansi, and participants at the annual meetings of the Southern Finance Association and European Financial Management Association for helpful comments.

Abstract

We compare end-of-day indicative U.S. Treasury prices from GovPX and the Federal Reserve Bank of New York (FRBNY). We find that the two sources rarely quote identical prices, and differences are not simply due to noise or rounding. The average bid price differential is 2 cents for notes and bonds, but it is only 1/10 of 1 cent for bills. Bid-ask spreads in both sources appear to be largely artificial and contain limited information. Finally, we find that the end-of-day indicative FRBNY bid prices are closer to true intraday GovPX market quotes than end-of-day indicative quotes provided by GovPX itself.

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