We identify Treasury supply shocks using auction data, interpreting changes in futures prices around announcements as shocks to expected supply. We isolate the component of futures price variations pe
The uploaded files include the data and code used in this paper. The code files are primarily divided into three parts based on the frequency of the sample data.
The Volume column shows the total shares traded on each day and the Cum. Volume % column shows the percent of total volume that took place on or before that date.
