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Enhancing the liquidity of U.S. Treasury securities in an era of surpluses

  • Paul Bennett
  • Kenneth Barbade
  • John Kambhu
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    File URL: http://www.newyorkfed.org/research/epr/00v06n1/0004benn.pdf
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    Article provided by Federal Reserve Bank of New York in its journal Economic Policy Review.

    Volume (Year): (2000)
    Issue (Month): Apr ()
    Pages: 89-119

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    Handle: RePEc:fip:fednep:y:2000:i:apr:p:89-119:n:v.6no.1
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    1. Kilcollin, Thomas Eric, 1982. " Difference Systems in Financial Futures Markets," Journal of Finance, American Finance Association, vol. 37(5), pages 1183-97, December.
    2. Simon, David P., 1991. "Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(01), pages 97-108, March.
    3. Warga, Arthur, 1992. "Bond Returns, Liquidity, and Missing Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(04), pages 605-617, December.
    4. Paul, Allen B. & Kahl, Kandice H. & Tomek, William G., 1981. "Performance of Futures Markets: The Case of Potatoes," Technical Bulletins 157682, United States Department of Agriculture, Economic Research Service.
    5. Garbade, Kenneth D & Silber, William L, 1983. "Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts," The Journal of Business, University of Chicago Press, vol. 56(3), pages 249-72, July.
    6. 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.
    7. Frank Keane, 1996. "Repo rate patterns for new Treasury notes," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Sep).
    8. Edwin J. Elton & T. Clifton Green, 1998. "Tax and Liquidity Effects in Pricing Government Bonds," Journal of Finance, American Finance Association, vol. 53(5), pages 1533-1562, October.
    9. Garbade, Kenneth D & Silber, William L, 1976. "Price Dispersion in the Government Securities Market," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 721-40, August.
    10. Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    11. Sarig, Oded & Warga, Arthur, 1989. "Bond Price Data and Bond Market Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(03), pages 367-378, September.
    12. Park, Sang Yong & Reinganum, Marc R., 1986. "The puzzling price behavior of treasury bills that mature at the turn of calendar months," Journal of Financial Economics, Elsevier, vol. 16(2), pages 267-283, June.
    13. Tanner, J Ernest & Kochin, Levis A, 1971. "The Determinants of the Difference Between Bid and Ask Prices on Government Bonds," The Journal of Business, University of Chicago Press, vol. 44(4), pages 375-79, October.
    14. Duffie, Darrell, 1996. " Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
    15. Lippman, Steven A & McCall, John J, 1986. "An Operational Measure of Liquidity," American Economic Review, American Economic Association, vol. 76(1), pages 43-55, March.
    16. Kamara, Avraham, 1994. "Liquidity, Taxes, and Short-Term Treasury Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 403-417, September.
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