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Keywords:end of month 

Discussion Paper
End‑of‑Month Liquidity in the Treasury Market

Trading activity in benchmark U.S. Treasury securities now concentrates on the last trading day of the month. Moreover, this stepped-up activity is associated with lower transaction costs, as shown by a smaller price impact of trades. We conjecture that increased turn-of-month portfolio rebalancing by passive investment funds that manage relative to fixed-income indices helps explain these patterns.
Liberty Street Economics , Paper 20240924

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