Menkveld, Albert J. (contributor); … - 2004
-specific innovations, and (iv) (transitory) noise. We relate
changes in each of these factors to national order imbalance and find that …-specific innovations, and German
order imbalance only changes yields temporarily. Order imbalance, however,
does not have explanatory power … for the most important factor: benchmark
yield innovations.
JEL Classification: G10, G15, G18
Keywords: government bond …