American Economic Journal:
Macroeconomics
ISSN 1945-7707 (Print) | ISSN 1945-7715 (Online)
US Treasury Auctions: A High-Frequency Identification of Supply Shocks
American Economic Journal: Macroeconomics
vol. 17,
no. 1, January 2025
(pp. 245–73)
Abstract
We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pertaining to US Treasury announcements between 1998 and 2020. We study how supply affects financial markets through local projections, using shocks as instruments. We show that increases in Treasury supply cause an upward shift of the yield curve fueled partly by a higher term premium. Stock prices decline, volatility climbs, and corporate bond yields increase. The risk premium rises, the equity premium falls, inflation expectations soar, and the liquidity premium decreases.Citation
Phillot, Maxime. 2025. "US Treasury Auctions: A High-Frequency Identification of Supply Shocks." American Economic Journal: Macroeconomics, 17 (1): 245–73. DOI: 10.1257/mac.20210243Additional Materials
JEL Classification
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E63 Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- G13 Contingent Pricing; Futures Pricing; option pricing
- G14 Information and Market Efficiency; Event Studies; Insider Trading
- H63 National Debt; Debt Management; Sovereign Debt
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