SSRN-The Microstructure of the TIPS Market by Michael Fleming, Neel Krishnan:
" We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the mid-to-late morning. Announcement effects also differ from the nominal market, with auction results and consumer price index announcements eliciting particularly sharp increases in trading activity"
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1 comment:
Thanks for posting this. Don't miss my related article.
http://alephblog.com/2009/12/23/my-tips-treasuries-and-inflation-model/
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