Why Do the Mid-Term Maturity Treasury Yields Get More Attention?

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