What are Treasury On-Off Spreads Actually?

There has never been a thorough analysis of Treasury spline errors. All that is known is the consequence of assumption. Measurement without theory ruffles the waters surrounding theories of liquidity risk in Treasury markets. A central question posited by this paper is: Is the on-off spread actually driven by liquidity differences? All is not lost, however, as we have firm theoretical and empirical support for theories that support past yield changes as a primary driver of on-off spreads.