Beschreibung:
This paper analyzes the information and risk transmission mechanism in the U.S. Treasury with different maturities than previous studies which focused on the spread between short- and long-term rates. We find that 5-year Treasury bond yields play the role of information transmitter, conveying their liquidity and center location yield curve advantages. Most importantly, the information transmitter role of 5-year Treasury yields remains unchanged under unconventional monetary policies even though these policies decrease the connectedness of Treasury yields. The transmitter role of the 5-year Treasury has also manifested in the Treasury market flash event and in Treasury futures and ETFs