Skip to main content
Unpublished Paper
The Effect of Treasury Auction Announcements on Interest Rates: 1990-1999
  • James J Forest, University of Massachusetts - Amherst
In this study we examine the secondary-market response of U.S. Treasury interest rates to both the release of pre-auction auction supply announcements and post-auction details from U.S. Treasury auctions during the period of the 1990s. Rate changes are found to differ significantly on auction days. Pre-auction announcements of auction volumes are shown to affect rates significantly, in contrast with the findings of Wachtel and Young (1987) with respect to deficit announcements. We find that surprises in the release of bid-to-cover ratios affect Treasury rates significantly, while the surprises in the volume of noncompetitive bids appears to have little affect on rates outside of the bill sector. Employing a GARCH model to characterize the volatility effect of auction data, we find it to be as much as 40% higher on auction days. By comparison, Federal Reserve policy announcements are associated with as much as a 130% increase in conditional volatility. These results suggest that, during the 1990s, the U.S. Treasury’s financing operations were conducted in a manner that exerted no more pressure on the market than that of many regularly-scheduled macroeconomic announcements.
  • Treasury auctions,
  • GARCH modeling,
  • Interest rates,
  • Volatility,
  • Federal Reserve,
  • Monetary policy,
  • Macroeconomic announcements
Publication Date
July 23, 2012
Citation Information
James J Forest. "The Effect of Treasury Auction Announcements on Interest Rates: 1990-1999" (2012)
Available at: