Ejsing, Jacob W.; Sihvonen, Jukka - European Central Bank - 2009
There is strong evidence that on-the-run U.S. Treasury securities trade muchmore liquidly and at significantly higher … whose market structure differ markedly from that of the U.S. Treasurymarket. In sharp contrast to the U.S. evidence, we find … that on-the-run statushas only a negligible effect on the liquidity and pricing once other factors havebeen controlled for …