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Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System

Author

Listed:
  • Vignola, Anthony
  • Dale, Charles
  • Federal Reserve System, Federal Reserve Staffs

Abstract

The September 30, 1978 legislation (P.L. 95-405), which renewed the authority of the CFTC to regulate futures markets, directs the Commission to solicit the advice of the Treasury and the Federal Reserve before authorizing any additional futures contracts that specify delivery of U.S. Government securities. The Act also requires the Commission to consider the impact of such futures trading on the debt management requirements of the Treasury and on the efficiency and the integrity of the market for U.S. Government securities. Confronted with the need to comment on several pending contract proposals, yet lacking a body of research on which opinions could be firmly grounded, the Secretary of the Treasury and the Chairman of the Board of Governors wrote the CFTC in October 1978, suggesting an immediate Treasury-FRB study and requesting a moratorium on new authorizations of Treasury futures contracts until the study could be completed. The Treasury and Federal Reserve staffs have since conducted over thirty interviews with a wide variety of participants in the cash and futures markets for Government securities. The detailed findings from these interviews, as well as a summary of the costs and benefits of Treasury futures markets are summarized in this report.

Suggested Citation

  • Vignola, Anthony & Dale, Charles & Federal Reserve System, Federal Reserve Staffs, 1979. "Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System," MPRA Paper 58897, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:58897
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    References listed on IDEAS

    as
    1. Charles Dale, 1981. "The hedging effectiveness of currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(1), pages 77-88, March.
    2. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-574, September.
    3. Powers, Mark J, 1970. "Does Futures Trading Reduce Price Fluctuations in the Cash Markets?," American Economic Review, American Economic Association, vol. 60(3), pages 460-464, June.
    4. Working, Holbrook, 1960. "Price Effects of Futures Trading," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 1(1), pages 1-31.
    5. Taylor, Gregory S. & Leuthold, Raymond M., 1974. "The Influence of Futures Trading on Cash Cattle Price Variations," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 13(1), pages 1-8.
    6. Paul Cicchetti & Charles Dale & Anthony J. Vignola, 1981. "Usefulness of treasury bill futures as hedging instruments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(3), pages 379-387, September.
    7. Dale, Charles, 1981. "Brownian motion in the treasury bill futures market," MPRA Paper 46530, University Library of Munich, Germany.
    8. Vignola, Anthony & Dale, Charles, 1979. "Is the Futures Market for Treasury Bills Efficient?," MPRA Paper 48762, University Library of Munich, Germany.
    9. Sanford J. Grossman, 1977. "The Existence of Futures Markets, Noisy Rational Expectations and Informational Externalities," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 44(3), pages 431-449.
    10. Kenneth Froewiss, 1978. "GNMA futures: stabilizing or destabilizing?," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 20-29.
    11. Johnson, Aaron C., 1973. "Effects of Futures Trading on Price Performance in the Cash Onion Market, 1930-68," Technical Bulletins 160046, United States Department of Agriculture, Economic Research Service.
    12. Dale, Charles & Workman, Rosemarie, 1981. "Measuring patterns of price movements in the Treasury bill futures market," MPRA Paper 48639, University Library of Munich, Germany.
    13. Vignola, Anthony & Dale, Charles, 1980. "The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications," MPRA Paper 48812, University Library of Munich, Germany.
    14. Johnson, Harry G, 1976. "Destabilizing Speculation: A General Equilibrium Approach," Journal of Political Economy, University of Chicago Press, vol. 84(1), pages 101-108, February.
    15. Dale, Charles & Workman, Rosemarie, 1980. "The arc sine law and the treasury bill futures market," MPRA Paper 46101, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Futures Markets; Hedging; Treasury Bill Futures.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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