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Bond supply, yield drifts and liquidity provision before macroeconomic announcements
Two of the most important drivers of nominal interest rates are the arrival of macroeconomic news and changes in the supply of government bonds. These two factors have become more and more intertwined as bond issuances have increasingly occurred near scheduled macroeconomic announcements. Yet, how the interaction between these two forces affects investor behaviour, bond market liquidity and ultimately interest rates is not well understood. We fill this gap in the literature. […]