宏观经济公告前的债券供应、收益率漂移和流动性提供

Bondsupply,yield drifts,andliquidityprovisionbeforemacroeconomic announcements by Dong Lou, Gabor Pinter, Semih Uslu and DannyWalker Monetary and Economic Department December 2024 JEL classification: G11, G12, G14, D83, D84. Keywords: Macroeconomic announcements, interest ratedrift, bond supply, liquidity provision. BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2024. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. Bond Supply, Yield Drifts, and Liquidity Provision BeforeMacroeconomic Announcements∗ Dong LouHKUST & LSEGabor PinterBank for International Settlements Semih ÜslüDanny Walker Johns Hopkins CareyBank of England 17th November 2024 Abstract UK government bond yields tend to rise in a two-day window before scheduledmacroeconomic announcements such as labour market data releases and monetarypolicy news.This effect, particularly pronounced during UK bond issuances, islinked to higher term premia.Financial intermediary constraints play a role asdealers avoid accumulating inventory in pre-news windows with issuances.Thecomposition of liquidity providers also shifts: hedge funds buy a larger share of thebond issuance outside pre-news windows, but more passive investors, such as foreigncentral banks and pension funds, provide liquidity in pre-news windows. We outlinea simple model to rationalise these findings. Keywords: Macroeconomic Announcements, Yield Drift, Bond Supply, Liquidity Provision JEL codes: G11, G12, G14, D83, D84 1Introduction Two of the most important drivers of nominal interest rates are the arrival of macroeco-nomic news (Gürkaynak, Sack, and Swanson, 2005a,b) and changes in government bond supply(Greenwood and Vayanos, 2014).Given the rising levels of government debt and increasedprimary issuance in developed markets in recent years, it is natural to presume that news andbond supply effects on yields have become increasingly important and intertwined.Figure 1illustrates the sharp rise in the frequency of government bond issuance and the increased co-occurrences of bond issuance and macroeconomic announcements in the UK. For example, since2005, the majority of the Bank of England’s Monetary Policy Committee (MPC) announce-ments have been preceded by government bond issuance in the two days preceding. Yet, howthe interaction between these two forces affect investor behaviour, bond market liquidity, andultimately interest rates is not well understood. Our paper uses both aggregate and granular,transaction-level data to empirically study this interaction and its effect on interest rates. Wealso present a simple model to illustrate the mechanics of secondary market trading followingbond issuance and prior to news events such as the arrival of labour market data releases andmonetary policy announcements. We start our empirical analysis by documenting that long-term bond yields systematicallyrise in a two-day window before the scheduled arrival of macroeconomic news such as labourmarket data releases and monetary policy announcements, which we refer to as ‘pre-newswindows’. We refer to the yield changes in pre-news windows as ‘pre-news yield drift’. Over oursample period of 1997-2021, this pre-news drift pushed up yields by about two percentage pointsin 10-20 year maturities, which is non-negligible compared to a total fall of 6-7 percentage pointssince 1997.The effect concentrates in pre-news windows that coincide with new issuance ofgovernment bonds. For example, as a baseline, the average daily change in 10- and 20-year yieldsduring pre-news windows is 0.3-0.5 bps larger than yield changes outside pre-news windows. Butthis difference rises to 0.6-1.1 bps when the pre-news window coincides with primary issuances.Decomposing the pre-news drift into a term premium component and changes in expectationsabout future short-term interest rates, we find that term premia play a dominant role in ourresults. To analyse the mechanisms underlining the pre-news yield drift and its interaction withprimary issuances, we study the behaviour of both primary dealers and clients. The explanationwe explore, which we also formalise in a theoretical model, relates to the limited risk-bearingcapacity of primary dealers during government bond issuance, which becomes more pronouncedwhen issuance is closely followed by an informationally sensitive period such as a macroeconomicannouncement. To empirically analyse the relevance of dealer constraints we employ various empirical prox-ies.First, we use our transaction-level data to con