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Stats › Intraday and market microstructure › Treasury by maturity

The Treasury announcement-day premium rises with maturity and turns negative at the short end

30 day bill t = -14.49: -0.7-0.730 day billt = -14.491 year t = 2.22: -0.5-0.51 yeart = 2.225 year t = 2.57: 2.6+2.65 yeart = 2.5710 year t = 2.23: 3.4+3.410 yeart = 2.2320 year t = 2.04: 4.1+4.120 yeart = 2.0430 year t = 2.02: 4.5+4.530 yeart = 2.02

Difference in basis points between mean announcement-day and mean non-announcement-day returns, CRSP daily data 1961 to 2009. Announcements are scheduled CPI and PPI releases, employment reports and scheduled FOMC decisions. Unscheduled FOMC announcements are excluded. These are differences in means, not raw returns.

On scheduled macro announcement days from 1961 to 2009, Treasury returns ran 4.5 basis points above normal at thirty years, 3.4 at ten and minus 0.5 at one year. The thirty day bill ran 0.7 basis points below, with a t statistic of minus 14.49.

4.5bpAnnouncement-day excess over normal days, 30 year, t = 2.02
3.4bpThe same measure for the 10 year, t = 2.23
-0.5bpThe same measure for the 1 year, t statistic reported as 2.22
-0.7bpThe 30 day Treasury bill, t = -14.49

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