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Contagion | US Treasury Market | Macro Modelling | International Finance | Australia

US Treasury Market

The papers in this section represent my most recent work on high frequency bond markets. Using the Cantor-Fitzgerald E-speed database (available from www.cantordirect.com) we characterise this market's microstructure. I am most interested in the transmission of shocks across assets, and here we use the term structure to explore that idea.


Intertrade Durations in US Treasuries: a FIACD Model, with Olan Henry and Michael McKenzie, 2008 (work in progress) pdf

From Trade-to-Trade in US Treasuries: Durations, Workups and News Effects, with Olan Henry and Michael McKenzie, 2009 (work in progress) pdf

Yield Curve Responses to Monetary Policy in the Presence of Asymmetric Information, with Edda Claus, 2006 (work in progress) pdf

Rational Traders and Price Bubbles, with Michael McKenzie and Demosthenes Tambakis, 2006 (work in progress) pdf

Empirical Evidence on Jumps in the Term Structure of the US Treasury Market, Journal of Empirical Finance, 2009, forthcoming, with Michael McKenzie and Vanessa Smith pdf | CAMA Working Paper No.25-2007

Flight to Quality and Asymmetric Response in US Treasuries, Global Finance Journal, 2009, 19,252-267, with Michael McKenzie and Demosthenes Tambakis pdf

The US Treasury Market in August 1998: Untangling the Effects of Hong Kong an Russia, International Journal of Finance and Economics, 2008, 13, 40-52, with Charles Goodhart and Demosthenes Tambakis pdf


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