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~institution:"Banco de España"
~institution:"Cowles Foundation for Research in Economics, Yale University"
~institution:"Federal Reserve Bank of Chicago"
~institution:"Inter-American Development Bank"
~language:"eng"
~subject:"Liquidity (Economics)"
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Price discovery in a market under stress: the U.S. Treasury market in fall 1998
Furfine, Craig H.
;
Remolona, Eli M.
-
Federal Reserve Bank of Chicago
-
2005
-year Treasury notes, we find that the impact of trades on
prices
tends to become significantly stronger on stressful days …
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