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The benchmark U.S. Treasury market: recent performance and possible alternatives

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  • Michael J. Fleming

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  • Michael J. Fleming, 2000. "The benchmark U.S. Treasury market: recent performance and possible alternatives," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 129-145.
  • Handle: RePEc:fip:fednep:y:2000:i:apr:p:129-145:n:v.6no.1
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    References listed on IDEAS

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    1. Dominique Dupont & Brian P. Sack, 1999. "The Treasury securities market: overview and recent development," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Dec, pages 785-806.
    2. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
    3. Duffie, Darrell, 1996. "Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
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    Cited by:

    1. Godfrey Akileng & Abbot Anthony Ogwang & Charles Ssendyona, 2018. "Determinants of performance of securities exchanges in East Africa," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 7(3), pages 1-3.
    2. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
    3. John Kambhu & Patricia C. Mosser, 2001. "The effect of interest rate options hedging on term-structure dynamics," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 51-70.
    4. Alberto Giovannini, 2013. "Risk-free assets in financial markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 72, pages 73-78, Bank for International Settlements.
    5. Fleming, Michael J, 2002. "Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 707-735, August.
    6. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
    7. Kenneth Barbade & Paul Bennett & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
    8. Mr. Jorge A Chan-Lau & Mr. Iryna V. Ivaschenko, 2002. "The Corporate Spread Curve and Industrial Production in the United States," IMF Working Papers 2002/008, International Monetary Fund.
    9. Neil Cooper & Cedric Scholtes, 2001. "Government bond market valuations in an era of dwindling supply," BIS Papers chapters, in: Bank for International Settlements (ed.), The changing shape of fixed income markets: a collection of studies by central bank economists, volume 5, pages 147-169, Bank for International Settlements.
    10. Henning Bohn, 2002. "Government asset and liability management in an era of vanishing public debt," Proceedings, Federal Reserve Bank of Cleveland, pages 887-940.
    11. Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.
    12. Benos, Evangelos & Wetherilt, Anne, 2012. "The role of designated market makers in the new trading landscape," Bank of England Quarterly Bulletin, Bank of England, vol. 52(4), pages 343-353.
    13. Griffiths, Mark D. & Lindley, James T. & Winters, Drew B., 2010. "Market-making costs in Treasury bills: A benchmark for the cost of liquidity," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2146-2157, September.
    14. Weißbach, Rafael & Ponyatovskyy, Vladyslav & Zimmermann, Guido, 2006. "The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast," Technical Reports 2006,50, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    15. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
    16. Suhejla Hoti & Esfandiar Maasoumi & Michael McAleer & Daniel Slottje, 2009. "Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 522-554.
    17. Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.
    18. Clouse James & Henderson Dale & Orphanides Athanasios & Small David H. & Tinsley P.A., 2003. "Monetary Policy When the Nominal Short-Term Interest Rate is Zero," The B.E. Journal of Macroeconomics, De Gruyter, vol. 3(1), pages 1-65, September.
    19. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "An index of Treasury Market liquidity: 1991-2017," Staff Reports 827, Federal Reserve Bank of New York.
    20. James A. Clouse & David H. Small, 2004. "The scope of monetary policy actions authorized under the Federal Reserve Act," Finance and Economics Discussion Series 2004-40, Board of Governors of the Federal Reserve System (U.S.).
    21. Patricia S. Pollard, 2001. "The creation of the Euro and the role of the dollar in international markets," Review, Federal Reserve Bank of St. Louis, vol. 83(May), pages 17-36.
    22. Bank for International Settlements, 2001. "The changing shape of fixed income markets: a collection of studies by central bank economists," BIS Papers, Bank for International Settlements, number 05, December.
    23. Lawrence Kreicher & Robert N McCauley & Philip Wooldridge, 2014. "Benchmark tipping in the global bond market," BIS Working Papers 466, Bank for International Settlements.
    24. Hayette Gatfaoui, 2003. "Risque de Défaut et Risque de Liquidité : Une Etude de Deux Composantes du Spread de Crédit," Risk and Insurance 0308005, University Library of Munich, Germany.

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