  Trading pressure from one asset can move the price of another, a phenomenon
referred to as cross impact. Using tick-by-tick data spanning 5 years for 500
assets listed in the United States, we identify the features that make
cross-impact relevant to explain the variance of price returns. We show that
price formation occurs endogenously within highly liquid assets. Then, trades
in these assets influence the prices of less liquid correlated products, with
an impact velocity constrained by their minimum trading frequency. We
investigate the implications of such a multidimensional price formation
mechanism on interest rate markets. We find that the 10-year bond future serves
as the primary liquidity reservoir, influencing the prices of cash bonds and
futures contracts within the interest rate curve. Such behaviour challenges the
validity of the theory in Financial Economics that regards long-term rates as
agents anticipations of future short term rates.
