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Liquidity in U.S. Treasury Spot and Futures Markets

In: Market Liquidity: Research Findings and Selected Policy Implications

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  • Michael Fleming

    (Federal Reserve Bank)

  • Asani Sarkar

    (Federal Reserve Bank)

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This chapter was published in:

  • Bank for International Settlements, 1999. "Market Liquidity: Research Findings and Selected Policy Implications," CGFS Papers, Bank for International Settlements, number 11, January.
    This item is provided by Bank for International Settlements in its series CGFS Papers chapters with number 11-11.

    Handle: RePEc:bis:biscgc:11-11

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    Cited by:
    1. Chee Jin Yap & Gerard Gannon, 2007. "Factors Affecting the Credit Spreads Behaviour of USD Malaysian Bonds," Accounting, Finance, Financial Planning and Insurance Series 2007_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
    2. Michel van der Wel & Albert Menkveld & Asani Sarkar, 2009. "Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes," Tinbergen Institute Discussion Papers 09-046/3, Tinbergen Institute.
    3. Albert J. Menkveld & Asani Sarkar & Michel van der Wel, 2007. "Macro News, Riskfree Rates, and the Intermediary," Tinbergen Institute Discussion Papers 07-086/2, Tinbergen Institute.
    4. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Dept. EGSeI.
    5. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term information, short-lived derivative securities," Working Papers 994, Queen's University, Department of Economics.
    6. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
    7. Dan Bernhardt & Ryan J. Davies & John Spicer, 2003. "Long-term Information, Short-lived Securities," ICMA Centre Discussion Papers in Finance icma-dp2003-10, Henley Business School, Reading University.
    8. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Working Papers 04-16, Bank of Canada.
    9. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Working Papers 03-28, Bank of Canada.
    10. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.

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