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Michael J. Fleming

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.

    Mentioned in:

    1. Optimal Settlement Speed
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-05-03 13:20:03
  2. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2016. "Market liquidity after the financial crisis," Staff Reports 796, Federal Reserve Bank of New York.

    Mentioned in:

    1. Revisiting Market Liquidity: The Case of U.S. Corporate Bonds
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-04-17 18:34:54
    2. Treasury Round II: The Capital Markets Report
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-10-23 17:04:21
  3. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.

    Mentioned in:

    1. Making the Treasury Market Resilient
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2020-08-19 11:50:39
  4. Michael J. Fleming & Kenneth D. Garbade, 2002. "When the back office moved to the front burner: settlement fails in the treasury market after 9/11," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(Nov), pages 35-57.

    Mentioned in:

    1. Operational Risk and Financial Stability
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2017-09-18 16:56:01
  5. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.

    Mentioned in:

    1. A Closer Look at the Federal Reserve's Securities Lending Program
      by Blog Author in Liberty Street Economics on 2016-08-17 16:00:00
    2. A Closer Look at the Federal Reserve’s Securities Lending Program
      by Guest Author in The Big Picture on 2016-08-19 14:00:29

Working papers

  1. Darrell Duffie & Michael Fleming & Frank Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer capacity and US Treasury market functionality," BIS Working Papers 1138, Bank for International Settlements.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
    3. Wenqian Huang & Angelo Ranaldo & Andreas Schrimpf & Fabricius Somogyi, 2023. "Constrained liquidity provision in currency markets," BIS Working Papers 1073, Bank for International Settlements.
    4. Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
    5. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    6. Dan Li & Lubomir Petrasek & Mary Tian, 2025. "Risk-averse Dealers in a Risk-free Market - The Role of Trading Desk Risk Limits," Finance and Economics Discussion Series 2025-034, Board of Governors of the Federal Reserve System (U.S.).
    7. Connolly, Michael F. & Struby, Ethan, 2024. "Treasury buybacks, the Federal Reserve’s portfolio, and changes in local supply," Journal of Banking & Finance, Elsevier, vol. 168(C).
    8. Carole Comerton-Forde & Billy Ford & Thierry Foucault & Simon Jurkatis, 2025. "Investors as a liquidity backstop in corporate bond markets," Bank of England working papers 1126, Bank of England.
    9. Michael Brolley & David Cimon, 2025. "Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets," Staff Working Papers 25-2, Bank of Canada.
    10. Mario Cerrato & Shengfeng Mei, 2025. "Bank Capital Structure, Valuation Adjustments and Financial Market Liquidity," Working Papers 2025_07, Business School - Economics, University of Glasgow.
    11. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).

  2. Alain P. Chaboud & Caren Cox & Michael J. Fleming & Ellen Correia Golay & Yesol Huh & Frank M. Keane & Kyle Lee & Krista B. Schwarz & Clara Vega & Carolyn Windover, 2022. "All-to-All Trading in the U.S. Treasury Market," Staff Reports 1036, Federal Reserve Bank of New York.

    Cited by:

    1. Alicia Vidler & Toby Walsh, 2025. "Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A bond market study," Papers 2503.00320, arXiv.org, revised Mar 2025.

  3. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Matthew O. Jackson & Agathe Pernoud, 2020. "Credit Freezes, Equilibrium Multiplicity, and Optimal Bailouts in Financial Networks," Papers 2012.12861, arXiv.org, revised Jul 2023.
    3. Thomas M. Eisenbach & Anna Kovner & Michael Junho Lee, 2020. "Cyber Risk and the U.S. Financial System: A Pre-Mortem Analysis," Staff Reports 909, Federal Reserve Bank of New York.
    4. Thomas Richter, 2021. "Central Counterparties and Liquidity Provision in Cash Markets," JRFM, MDPI, vol. 14(12), pages 1-26, December.
    5. Kubitza, Christian & Pelizzon, Loriana & Sherman, Mila Getmansky, 2023. "Loss sharing in central clearinghouses: winners and losers," Working Paper Series 2873, European Central Bank.
    6. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    7. Cristina Di Luigi & Antonio Perrella & Alessio Ruggieri, 2024. "The fundamental role of the repo market and central clearing," Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) 48, Bank of Italy, Directorate General for Markets and Payment System.
    8. Casu, Barbara & Kalotychou, Elena & Katsoulis, Petros, 2025. "Stress testing OTC derivatives: Clearing reforms and market frictions," Journal of Financial Stability, Elsevier, vol. 77(C).
    9. Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.

  4. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2021. "The Federal Reserve’s Market Functioning Purchases," Staff Reports 998, Federal Reserve Bank of New York.

    Cited by:

    1. Michael Brolley & David Cimon, 2025. "Non-Bank Dealing and Liquidity Bifurcation in Fixed-Income Markets," Staff Working Papers 25-2, Bank of Canada.
    2. Bernardini, Marco & De Nicola, Annalisa, 2025. "The market stabilization role of central bank asset purchases: High-frequency evidence from the COVID-19 crisis," Journal of International Money and Finance, Elsevier, vol. 152(C).
    3. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.

  5. Michael J. Fleming & Asani Sarkar & Peter Van Tassel, 2020. "The COVID-19 Pandemic and the Fed’s Response," Liberty Street Economics 20200415, Federal Reserve Bank of New York.

    Cited by:

    1. Hakan Yilmazkuday, 2021. "COVID-19 and Monetary Policy with Zero Bounds: A Cross-Country Investigation," Working Papers 2112, Florida International University, Department of Economics.
    2. Bhar, Ramaprasad & Malliaris, A.G., 2021. "Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 15-33.
    3. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    4. Antoine Martin & Susan McLaughlin, 2021. "COVID Response: The Primary Dealer Credit Facility," Staff Reports 981, Federal Reserve Bank of New York.
    5. Maurizio Trapanese, 2020. "The regulatory cycle in banking: what lessons from the U.S. experience? (from the Dodd-Frank Act to Covid-19)," Questioni di Economia e Finanza (Occasional Papers) 585, Bank of Italy, Economic Research and International Relations Area.

  6. Michael J. Fleming, 2020. "Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic," Liberty Street Economics 20200529a, Federal Reserve Bank of New York.

    Cited by:

    1. Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
    2. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
    3. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021. "Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Patricia C. Mosser, 2020. "Central bank responses to COVID-19," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 55(4), pages 191-201, October.
    6. Willem H Buiter, 2023. "The widespread failure of central banks to control inflation," Economic Affairs, Wiley Blackwell, vol. 43(1), pages 2-31, February.
    7. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    8. Jordan Barone & Alain P. Chaboud & Adam Copeland & Cullen Kavoussi & Frank M. Keane & Seth Searls, 2023. "The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020," Economic Policy Review, Federal Reserve Bank of New York, vol. 29(3), pages 1-29, December.
    9. Egemen Eren & Philip Wooldridge, 2021. "Non-bank financial institutions and the functioning of government bond markets," BIS Papers, Bank for International Settlements, number 119, June.
    10. Onofrio Panzarino, 2023. "Investor behavior under market stress:evidence from the Italian sovereign bond market," Temi di discussione (Economic working papers) 33, Bank of Italy, Economic Research and International Relations Area.
    11. Matthias Thiemann, 2021. "La relation asymétrique des banques centrales au financement de marché : une évaluation des implications pour la stabilité financière à la lumière des évènements lés à la Covid," Post-Print hal-03622943, HAL.
    12. Larry D. Wall, 2021. "So Far, So Good: Government Insurance of Financial Sector Tail Risk," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2021(13), November.
    13. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).
    14. Debelle, Guy, 2020. "The Reserve Bank of Australia’s policy actions and balance sheet," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 285-295.
    15. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    16. Matthias Thiemann, 2021. "La relation asymétrique des banques centrales au financement de marché : une évaluation des implications pour la stabilité financière à la lumière des évènements lés à la Covid," SciencePo Working papers Main hal-03622943, HAL.

  7. Michael J. Fleming & Francisco Ruela, 2020. "Treasury Market Liquidity during the COVID-19 Crisis," Liberty Street Economics 20200417, Federal Reserve Bank of New York.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Foley, Sean & Kwan, Amy & Philip, Richard & Ødegaard, Bernt Arne, 2022. "Contagious margin calls: How COVID-19 threatened global stock market liquidity," Journal of Financial Markets, Elsevier, vol. 59(PA).
    3. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021. "Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
    6. Willem H Buiter, 2023. "The widespread failure of central banks to control inflation," Economic Affairs, Wiley Blackwell, vol. 43(1), pages 2-31, February.
    7. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    8. Thomas M. Eisenbach & Gregory Phelan, 2023. "Fragility of Safe Assets," Working Papers 23-02, Office of Financial Research, US Department of the Treasury.
    9. Jordan Barone & Alain P. Chaboud & Adam Copeland & Cullen Kavoussi & Frank M. Keane & Seth Searls, 2023. "The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions in March 2020," Economic Policy Review, Federal Reserve Bank of New York, vol. 29(3), pages 1-29, December.
    10. Egemen Eren & Philip Wooldridge, 2021. "Non-bank financial institutions and the functioning of government bond markets," BIS Papers, Bank for International Settlements, number 119, June.
    11. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    12. Onofrio Panzarino, 2023. "Investor behavior under market stress:evidence from the Italian sovereign bond market," Temi di discussione (Economic working papers) 33, Bank of Italy, Economic Research and International Relations Area.
    13. Matthias Thiemann, 2021. "La relation asymétrique des banques centrales au financement de marché : une évaluation des implications pour la stabilité financière à la lumière des évènements lés à la Covid," Post-Print hal-03622943, HAL.
    14. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).
    15. Debelle, Guy, 2020. "The Reserve Bank of Australia’s policy actions and balance sheet," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 285-295.
    16. Thomas M. Eisenbach & Gregory Phelan, 2022. "Fragility of Safe Asset Markets," Staff Reports 1026, Federal Reserve Bank of New York.
    17. Matthias Thiemann, 2021. "La relation asymétrique des banques centrales au financement de marché : une évaluation des implications pour la stabilité financière à la lumière des évènements lés à la Covid," SciencePo Working papers Main hal-03622943, HAL.

  8. Erin Denison & Michael J. Fleming & Asani Sarkar, 2019. "Creditor Recovery in Lehman’s Bankruptcy," Liberty Street Economics 20190114a, Federal Reserve Bank of New York.

    Cited by:

    1. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
    2. Awrey Dan, 2021. "Three Projects in the New Law and Finance," Accounting, Economics, and Law: A Convivium, De Gruyter, vol. 11(1), pages 9-25, March.

  9. Michael J. Fleming & Giang Nguyen, 2019. "Assessing the Price Impact of Treasury Market Workups," Liberty Street Economics 20190306c, Federal Reserve Bank of New York.

    Cited by:

    1. James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).

  10. Michael J. Fleming & Giang Nguyen & Francisco Ruela, 2019. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Staff Reports 886, Federal Reserve Bank of New York.

    Cited by:

    1. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    2. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).

  11. Adam Copeland & Michael J. Fleming & Frank M. Keane & Radhika Mithal, 2018. "Do You Know How Your Treasury Trades Are Cleared and Settled?," Liberty Street Economics 20180912, Federal Reserve Bank of New York.

    Cited by:

    1. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.

  12. Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Collin Jones & Frank M. Keane & Michael Puglia & Liza Reiderman & Tony Rodrigues & Or Shachar, 2018. "Unlocking the Treasury Market through TRACE," FEDS Notes 2018-09-28-1, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Egemen Eren & Philip Wooldridge, 2021. "Non-bank financial institutions and the functioning of government bond markets," BIS Papers, Bank for International Settlements, number 119, June.
    2. Michiel De Pooter & Giovanni Favara & Michele Modugno & Jason J. Wu, 2020. "Monetary Policy Uncertainty and Monetary Policy Surprises," Finance and Economics Discussion Series 2020-032, Board of Governors of the Federal Reserve System (U.S.).
    3. James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).
    4. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Reprint: Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 114(C).

  13. Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Frank M. Keane & Michael Puglia & Tony Rodrigues & Or Shachar, 2018. "Breaking Down TRACE Volumes Further," FEDS Notes 2018-11-29, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    2. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    3. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.
    4. James Collin Harkrader & Michael Puglia, 2020. "Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers," Finance and Economics Discussion Series 2020-096, Board of Governors of the Federal Reserve System (U.S.).
    5. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    6. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).

  14. Adrian, Tobias & Fleming, Michael J. & Shachar, Or & Vogt, Erik, 2017. "Market Liquidity after the Financial Crisis," CEPR Discussion Papers 12248, C.E.P.R. Discussion Papers.

    Cited by:

    1. Maxime Phillot & Samuel Reynard, 2021. "Monetary policy financial transmission and treasury liquidity premia," Working Papers 2021-14, Swiss National Bank.
    2. Mark Paddrik & Stathis Tompaidis, 2019. "Market-Making Costs and Liquidity: Evidence from CDS Markets," Working Papers 19-01, Office of Financial Research, US Department of the Treasury.
    3. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    4. Tobias Adrian & Nina Boyarchenko & Or Shachar, 2016. "Dealer balance sheets and bond liquidity provision," Staff Reports 803, Federal Reserve Bank of New York.
    5. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    6. Breckenfelder, Johannes & Ivashina, Victoria, 2021. "Bank balance sheet constraints and bond liquidity," Working Paper Series 2589, European Central Bank.
    7. Aydin Ozkan & Roberto J. Santillán‐Salgado & Yilmaz Yildiz & María del Rocío Vega Zavala, 2020. "What Happened To The Willingness Of Companies To Invest After The Financial Crisis? Evidence From Latin American Countries," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(2), pages 231-262, May.
    8. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    9. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
    10. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    11. Alex Dontoh & Fayez A. Elayan & Joshua Ronen & Tavy Ronen, 2021. "Unfair “Fair Value” in Illiquid Markets: Information Spillover Effects in Times of Crisis," Management Science, INFORMS, vol. 67(8), pages 5163-5193, August.
    12. Jonathan Fullwood & Daniele Massacci, 2018. "Liquidity resilience in the UK gilt futures market: evidence from the order book," Bank of England working papers 744, Bank of England.
    13. Nathan Foley-Fisher & Stefan Gissler & Stephane Verani, 2019. "Over-the-Counter Market Liquidity and Securities Lending," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 272-294, July.
    14. Ashfaq Habib & M. Ishaq Bhatti & Muhammad Asif Khan & Zafar Azam, 2021. "Cash Holding and Firm Value in the Presence of Managerial Optimism," JRFM, MDPI, vol. 14(8), pages 1-18, August.
    15. Boyarchenko, Nina & Crump, Richard K. & Kovner, Anna & Shachar, Or, 2025. "Corporate bond market distress," Journal of Monetary Economics, Elsevier, vol. 152(C).
    16. Dan Costin NIŢESCU & Florin Alexandru DUNĂ & Adriana Daniela CIUREL, 2020. "Banking sector and bank liquidity – key actors within financial crises?," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(2(623), S), pages 147-168, Summer.
    17. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    18. Michele Manna & Stefano Nobili, 2023. "Banks' holdings of and trading in government bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 257-283, January.
    19. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
    20. Sergey Chernenko & Adi Sunderam, 2020. "Measuring the Perceived Liquidity of the Corporate Bond Market," NBER Working Papers 27092, National Bureau of Economic Research, Inc.
    21. Hattori, Takahiro, 2021. "Noise as a liquidity measure: Evidence from the JGB market," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    22. Aramonte, Sirio & Szerszeń, Paweł J., 2020. "Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    23. David Musto & Greg Nini & Krista Schwarz, 2018. "Notes on Bonds: Illiquidity Feedback During the Financial Crisis," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2983-3018.
    24. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    25. Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
    26. Vinay Singh & Bhasker Choubey & Stephan Sauer, 2024. "Liquidity forecasting at corporate and subsidiary levels using machine learning," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(3), September.
    27. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    28. Jaewon Choi & Yesol Huh, 2017. "Customer Liquidity Provision : Implications for Corporate Bond Transaction Costs," Finance and Economics Discussion Series 2017-116, Board of Governors of the Federal Reserve System (U.S.).
    29. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
    30. Miroslav Gabrovski & Ioannis Kospentaris, 2020. "Intermediation in Over-the-Counter Markets with Price Transparency," Working Papers 202017, University of Hawaii at Manoa, Department of Economics.
    31. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    32. David Mallaburn & Matt Roberts-Sklar & Laura Silvestri, 2019. "Resilience of trading networks: evidence from the sterling corporate bond market," Bank of England working papers 813, Bank of England.
    33. Lee, Sukjoon, 2020. "Liquidity Premium, Credit Costs, and Optimal Monetary Policy," MPRA Paper 104825, University Library of Munich, Germany.
    34. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.
    35. Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," Staff Reports 935, Federal Reserve Bank of New York.
    36. Diego Leal Gonzalez & Bryan Stanhouse & Duane Stock & Xin Yue Zhou, 2025. "Nonlinear structural estimation of corporate bond liquidity," Review of Quantitative Finance and Accounting, Springer, vol. 64(2), pages 799-827, February.
    37. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    38. Romeo-Victor Ionescu & Monica Laura Zlati & Valentin Marian Antohi, 2021. "Global Challenges vs. the Need for Regional Performance Models under the Present Pandemic Crisis," IJERPH, MDPI, vol. 18(19), pages 1-30, September.
    39. David Aikman & Jonathan Bridges & Anil Kashyap & Caspar Siegert, 2019. "Would Macroprudential Regulation Have Prevented the Last Crisis?," Journal of Economic Perspectives, American Economic Association, vol. 33(1), pages 107-130, Winter.
    40. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    41. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    42. Gündüz, Yalin & Ottonello, Giorgio & Pelizzon, Loriana & Schneider, Michael & Subrahmanyam, Marti G., 2018. "Lighting up the dark: Liquidity in the German corporate bond market," SAFE Working Paper Series 230, Leibniz Institute for Financial Research SAFE.
    43. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    44. Leal, Diego & Stanhouse, Bryan & Stock, Duane, 2020. "Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    45. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    46. Lara, José Luis & López-Gallo, Fabrizio & Lord, Stefano & Romero, Alberto, 2021. "Effects of the international regulatory reforms over market liquidity of Mexican sovereign debt," Journal of Financial Stability, Elsevier, vol. 52(C).
    47. Cimon, David & Garriott, Corey, 2019. "Banking regulation and market making," Journal of Banking & Finance, Elsevier, vol. 109(C).
    48. Haghighi, Afshin & Zhang, Lei & Oliver, Barry & Faff, Robert, 2023. "Information acquisition and market liquidity: Evidence from EDGAR search activity," Global Finance Journal, Elsevier, vol. 57(C).
    49. Goel, Tirupam & Lewrick, Ulf & Tarashev, Nikola, 2020. "Bank capital allocation under multiple constraints," Journal of Financial Intermediation, Elsevier, vol. 44(C).
    50. Zhao, Chaoyi & Chen, Yufan & Wu, Lintong & Dai, Yuehao & Chen, Ermo & Wu, Lan & Zhang, Ruixun, 2025. "High-frequency liquidity in the Chinese stock market: Measurements, patterns, and determinants," Pacific-Basin Finance Journal, Elsevier, vol. 90(C).
    51. Joe McLaughlin & Adam Minson & Nathan Palmer & Eric Parolin, 2018. "The OFR Financial System Vulnerabilities Monitor," Working Papers 18-01, Office of Financial Research, US Department of the Treasury.
    52. Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
    53. Bank for International Settlements, 2018. "Structural changes in banking after the crisis," CGFS Papers, Bank for International Settlements, number 60.
    54. François‐Eric Racicot & William F. Rentz & Raymond Théoret, 2025. "Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(1), pages 282-314, January.
    55. Becker, Christoph, 2021. "The liquidity mechanics of dealer banks in the market-based credit system," Economic Modelling, Elsevier, vol. 105(C).
    56. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).
    57. Hosono, Kaoru & Miyakawa, Daisuke & Watanabe, Shuji, 2023. "Pricing implications of intervention and debt management in the primary market of Japanese government bonds," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    58. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.
    59. Jeffrey Gao & Jianjian Jin & Jacob Thompson, 2018. "The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market," Staff Working Papers 18-35, Bank of Canada.
    60. Monica Laura Zlati & Romeo Victor Ionescu & Valentin Marian Antohi, 2022. "Modelling the Vulnerability of Financial Accounting Systems during Global Challenges: A Comparative Analysis," Mathematics, MDPI, vol. 10(9), pages 1-21, April.
    61. Anderson, Mike & Stulz, Rene M., 2017. "Is Post-crisis Bond Liquidity Lower?," Working Paper Series 2017-09, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    62. Richard K. Crump & João A. C. Santos, 2018. "Review of New York Fed studies on the effects of post-crisis banking reforms," Economic Policy Review, Federal Reserve Bank of New York, issue 24-2, pages 71-90.
    63. Hartmann, Philipp, 2017. "International liquidity," CEPR Discussion Papers 12337, C.E.P.R. Discussion Papers.
    64. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    65. Sahar Guesmi & Ramzi Ben-Abdallah & Michèle Breton & Georges Dionne, 2019. "The CDS-bond Basis: Negativity Persistence and Limits to Arbitrage," Working Papers 19-4, HEC Montreal, Canada Research Chair in Risk Management.

  15. Tobias Adrian & Michael J. Fleming & Erik Vogt, 2017. "The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data," Staff Reports 827, Federal Reserve Bank of New York.

    Cited by:

    1. Han, Gaofeng & Miao, Hui & Wang, Yabin, 2020. "Liquidity of China’s Government Bond Market: Measures and Driving Forces," MPRA Paper 104545, University Library of Munich, Germany.
    2. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    3. Livingston, Miles & Wu, Yanbin & Zhou, Lei, 2019. "The decline in idiosyncratic values of US Treasury securities," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    4. Geromichalos, Athanasios & Jung, Kuk Mo & Lee, Seungduck & Carlos, Dillon, 2021. "A model of endogenous direct and indirect asset liquidity," European Economic Review, Elsevier, vol. 132(C).
    5. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2020. "Predicting bond return predictability," CREATES Research Papers 2020-09, Department of Economics and Business Economics, Aarhus University.
    6. Coppola, Anna & Urga, Giovanni & Varaldo, Alessandro, 2025. "Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets," Journal of Financial Stability, Elsevier, vol. 76(C).

  16. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?," Liberty Street Economics 20160219a, Federal Reserve Bank of New York.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).

  17. Michael J. Fleming & Frank M. Keane & Ernst Schaumburg, 2016. "Primary Dealer Participation in the Secondary U.S. Treasury Market," Liberty Street Economics 20160212, Federal Reserve Bank of New York.

    Cited by:

    1. Michiel De Pooter & Giovanni Favara & Michele Modugno & Jason J. Wu, 2020. "Monetary Policy Uncertainty and Monetary Policy Surprises," Finance and Economics Discussion Series 2020-032, Board of Governors of the Federal Reserve System (U.S.).
    2. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Reprint: Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 114(C).
    3. Onofrio Panzarino, 2023. "Investor behavior under market stress:evidence from the Italian sovereign bond market," Temi di discussione (Economic working papers) 33, Bank of Italy, Economic Research and International Relations Area.

  18. Michael J. Fleming, 2016. "Is Treasury Market Liquidity Becoming More Concentrated," Liberty Street Economics 20160211, Federal Reserve Bank of New York.

    Cited by:

    1. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.

  19. Tobias Adrian & Agostino Capponi & Michael J. Fleming & Erik Vogt & Hongzhong Zhang, 2016. "Intraday market making with overnight inventory costs," Staff Reports 799, Federal Reserve Bank of New York.

    Cited by:

    1. Scheicher, Martin, 2023. "Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020," ESRB Occasional Paper Series 24, European Systemic Risk Board.
    2. Matthew Lorig & Zhou Zhou & Bin Zou, 2019. "Optimal Bookmaking," Papers 1907.01056, arXiv.org, revised Mar 2021.
    3. Min Dai & Steven Kou & H. Mete Soner & Chen Yang, 2023. "Leveraged Exchange-Traded Funds with Market Closure and Frictions," Management Science, INFORMS, vol. 69(4), pages 2517-2535, April.
    4. Bastien Baldacci & Philippe Bergault & Joffrey Derchu & Mathieu Rosenbaum, 2020. "On bid and ask side-specific tick sizes," Papers 2005.14126, arXiv.org, revised May 2020.
    5. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    6. Agostino Capponi & Jos'e E. Figueroa-L'opez & Chuyi Yu, 2021. "Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts," Papers 2101.03086, arXiv.org.
    7. Ivan Guo & Shijia Jin & Kihun Nam, 2023. "Macroscopic Market Making," Papers 2307.14129, arXiv.org, revised Apr 2025.
    8. Jonathan Ch'avez-Casillas & Jos'e E. Figueroa-L'opez & Chuyi Yu & Yi Zhang, 2024. "Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos," Papers 2405.11444, arXiv.org.
    9. Farshid Abdi & Botao Wu, 2018. "Informed Corporate Credit Market Before Monetary Policy Surprises: Explaining Pre-FOMC Stock Market Movements," Working Papers on Finance 1828, University of St. Gallen, School of Finance.
    10. Lorig, Matthew & Zhou, Zhou & Zou, Bin, 2021. "Optimal bookmaking," European Journal of Operational Research, Elsevier, vol. 295(2), pages 560-574.

  20. Michael J. Fleming & Seema Saggar & Samita Sareen, 2016. "Trading activity in the Indian government bond market," Staff Reports 785, Federal Reserve Bank of New York.

    Cited by:

    1. Endo, Tadashi, 2022. "Endogenous market development for government securities in lower-income economies," Emerging Markets Review, Elsevier, vol. 50(C).
    2. Ajit Dayanandan & Jai Chander & N. R. V. V. M. K. Rajendra Kumar, 2023. "Size and liquidity of government securities in India," Indian Economic Review, Springer, vol. 58(1), pages 71-90, June.
    3. Deuskar, Prachi & Johnson, Timothy C., 2021. "Funding liquidity and market liquidity in government bonds," Journal of Banking & Finance, Elsevier, vol. 129(C).

  21. Michael J. Fleming & Frank M. Keane, 2016. "What’s behind the March Spike in Treasury Fails?," Liberty Street Economics 20160418, Federal Reserve Bank of New York.

    Cited by:

    1. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.

  22. Tobias Adrian & Michael J. Fleming & Erik Vogt & Zachary Wojtowicz, 2016. "Corporate Bond Market Liquidity Redux: More Price-Based Evidence," Liberty Street Economics 20160209, Federal Reserve Bank of New York.

    Cited by:

    1. Curatola, Giuliano, 2022. "Price impact, strategic interaction and portfolio choice," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    2. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    3. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).

  23. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Changes in the Returns to Market Making," Liberty Street Economics 20151007, Federal Reserve Bank of New York.

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.

  24. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has U.S. Treasury Market Liquidity Deteriorated?," Liberty Street Economics 20150817, Federal Reserve Bank of New York.

    Cited by:

    1. Ødegaard, Bernt Arne, 2016. "Bond Liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2016/16, University of Stavanger.
    2. Nicola Anderson & Lewis Webber & Joseph Noss & Daniel Beale & Liam Crowley-Reidy, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.

  25. Tobias Adrian & Michael J. Fleming & Or Shachar & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Corporate Bond Market Increased?," Liberty Street Economics 20151006b, Federal Reserve Bank of New York.

    Cited by:

    1. Joseph Noss & Rupal Patel, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.
    2. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.
    3. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    4. Andreea Bicu & Louisa Chen & David Elliott, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England.

  26. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "What's Driving Dealer Balance Sheet Stagnation?," Liberty Street Economics 20150821, Federal Reserve Bank of New York.

    Cited by:

    1. Bank for International Settlements, 2016. "Regulatory change and monetary policy," CGFS Papers, Bank for International Settlements, number 55.
    2. Silvia Bressan, 2017. "A Short Note on the Funding of Investment Firms Across the Crisis: Did the Turmoil Bring Changes?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-3.
    3. Nicola Anderson & Lewis Webber & Joseph Noss & Daniel Beale & Liam Crowley-Reidy, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    4. Lael Brainard, 2016. "An Update on the Outlook, Liquidity, and Resilience : a speech at the Institute of International Bankers Annual Washington Conference, Washington, D.C., March 7, 2016," Speech 893, Board of Governors of the Federal Reserve System (U.S.).

  27. Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has Liquidity Risk in the Treasury and Equity Markets Increased?," Liberty Street Economics 20151006a, Federal Reserve Bank of New York.

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    2. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    3. Carmen Broto & Matías Lamas, 2016. "Measuring market liquidity in us fixed income markets: a new synthetic indicator," Working Papers 1608, Banco de España.
    4. Bicu-Lieb, Andreea & Chen, Louisa & Elliott, David, 2020. "The leverage ratio and liquidity in the gilt and gilt repo markets," Journal of Financial Markets, Elsevier, vol. 48(C).
    5. Andreea Bicu & Louisa Chen & David Elliott, 2017. "The leverage ratio and liquidity in the gilt and repo markets," Bank of England working papers 690, Bank of England.

  28. Tobias Adrian & Michael J. Fleming & Or Shachar & Erik Vogt, 2015. "Redemption Risk of Bond Mutual Funds and Dealer Positioning," Liberty Street Economics 20151008, Federal Reserve Bank of New York.

    Cited by:

    1. Nicola Branzoli & Giovanni Guazzarotti, 2017. "Liquidity transformation and financial stability: evidence from the cash management of open-end Italian mutual funds," Temi di discussione (Economic working papers) 1113, Bank of Italy, Economic Research and International Relations Area.
    2. Anna L. Paulson & Richard J. Rosen, 2016. "The Life Insurance Industry and Systemic Risk: A Bond Market Perspective," Working Paper Series WP-2016-4, Federal Reserve Bank of Chicago.

  29. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.

    Cited by:

    1. Ken B. Cyree & Mark D. Griffiths & Drew B. Winters, 2017. "Implications of a TAF program stigma for lenders: the case of publicly traded banks versus privately held banks," Review of Quantitative Finance and Accounting, Springer, vol. 49(2), pages 545-567, August.
    2. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    3. Olivier Armantier & Eric Ghysels & Asani Sarkar & Jeffrey Shrader, 2011. "Discount window stigma during the 2007-2008 financial crisis," Staff Reports 483, Federal Reserve Bank of New York.
    4. Fecht, Falko & Weber, Patrick, 2022. "Private value of central bank liquidity and Banks’ bidding behavior in variable rate tender auctions," Journal of Banking & Finance, Elsevier, vol. 136(C).
    5. Yang-Chao Wang & Jui-Jung Tsai & Lanxin Lu, 2019. "The impact of Chinese monetary policy on co-movements between money and capital markets," Applied Economics, Taylor & Francis Journals, vol. 51(45), pages 4939-4955, September.
    6. Leon Hoyos, Manuel, 2020. "Term Securities Lending Facility (TSLF) (U.S. GFC)," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(3), pages 202-228, April.
    7. Hoag, Christopher, 2018. "Clearinghouse loan certificates as a lender of last resort," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 215-229.
    8. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    9. Cimon, David A. & Walton, Adrian, 2024. "Central bank liquidity facilities and market making," Journal of Banking & Finance, Elsevier, vol. 162(C).
    10. Marco Macchiavelli & Luke Pettit, 2018. "Liquidity Regulation and Financial Intermediaries," Finance and Economics Discussion Series 2018-084, Board of Governors of the Federal Reserve System (U.S.).
    11. Anbil, Sriya & Vossmeyer, Angela, 2021. "Liquidity from two lending facilities," Journal of Financial Intermediation, Elsevier, vol. 48(C).
    12. Anne-Marie Rieu-Foucault, 2018. "Les interventions de crise de la FED et de la BCE diffèrent-elles ?," EconomiX Working Papers 2018-31, University of Paris Nanterre, EconomiX.
    13. Bui, Christina & Scheule, Harald & Wu, Eliza, 2020. "A cautionary tale of two extremes: The provision of government liquidity support in the banking sector," Journal of Financial Stability, Elsevier, vol. 51(C).
    14. Duncan, Elizabeth & Horvath, Akos & Iercosan, Diana & Loudis, Bert & Maddrey, Alice & Martinez, Francis & Mooney, Timothy & Ranish, Ben & Wang, Ke & Warusawitharana, Missaka & Wix, Carlo, 2022. "COVID-19 as a stress test: Assessing the bank regulatory framework," Journal of Financial Stability, Elsevier, vol. 61(C).
    15. Garcia-de-Andoain, Carlos & Heider, Florian & Hoerova, Marie & Manganelli, Simone, 2016. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area," Journal of Financial Intermediation, Elsevier, vol. 28(C), pages 32-47.
    16. Anne-Marie Rieu-Foucault, 2018. "Politique monétaire et stabilité financière," EconomiX Working Papers 2018-13, University of Paris Nanterre, EconomiX.
    17. Helwege, Jean & Boyson, Nicole M. & Jindra, Jan, 2017. "Thawing frozen capital markets and backdoor bailouts: Evidence from the Fed's liquidity programs," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 92-119.
    18. Richard H. Clarida, 2021. "Federal Reserve Independence: Foundations and Responsibilities: a speech at the Federal Reserve Bank of Cleveland, Cleveland, Ohio (via livestream), November 30, 2021," Speech 93418, Board of Governors of the Federal Reserve System (U.S.).
    19. Berger, Allen N. & Black, Lamont K. & Bouwman, Christa H.S. & Dlugosz, Jennifer, 2017. "Bank loan supply responses to Federal Reserve emergency liquidity facilities," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 1-15.
    20. Heider, Florian & Manganelli, Simone & Hoerova, Marie & Garcia-de-Andoain, Carlos, 2015. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in," CEPR Discussion Papers 10901, C.E.P.R. Discussion Papers.
    21. Alcaraz, Carlo & Claessens, Stijn & Cuadra, Gabriel & Marqués-Ibáñez, David & Sapriza, Horacio, 2019. "Whatever it takes: what’s the impact of a major nonconventional monetary policy intervention?," Working Paper Series 2249, European Central Bank.
    22. Yang, Karen, 2020. "The Primary Dealer Credit Facility (PDCF) (U.S. GFC)," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(3), pages 152-173, April.
    23. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    24. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    25. Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
    26. Viral V Acharya & Bruce Tuckman, 2014. "Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 62(4), pages 606-655, November.
    27. Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2013. "Federal Reserve financial crisis lending programs and bank stock returns," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3819-3829.
    28. Helwege, Jean & Boyson, Nicole M. & Jindra, Jan, 2017. "Reprint of: Thawing frozen capital markets and backdoor bailouts: Evidence from the Fed's liquidity programs," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 193-220.
    29. Gande, Amar & Kalpathy, Swaminathan, 2017. "CEO compensation and risk-taking at financial firms: Evidence from U.S. federal loan assistance," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 131-150.
    30. Ralf R. Meisenzahl & Karen M. Pence, 2022. "Crisis Liquidity Facilities with Nonbank Counterparties: Lessons from the Term Asset-Backed Securities Loan Facility," Finance and Economics Discussion Series 2022-021, Board of Governors of the Federal Reserve System (U.S.).
    31. Olivier Armantier & John Sporn, 2013. "Auctions implemented by the Federal Reserve Bank of New York during the Great Recession," Staff Reports 635, Federal Reserve Bank of New York.
    32. Breckenfelder, Johannes & Schepens, Glenn, 2025. "From purchases to exit: central bank interventions in corporate debt markets," Working Paper Series 3055, European Central Bank.
    33. Weber, Patrick, 2015. "Does the Eurosystem's lender of last resort facility has a structurally di fferent option value across banks?," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113123, Verein für Socialpolitik / German Economic Association.
    34. Mark A. Carlson & Zack Saravay & Mary Tian, 2025. "Fed Repo Operations and Dealer Intermediation," Finance and Economics Discussion Series 2025-052, Board of Governors of the Federal Reserve System (U.S.).
    35. Anbil, Sriya & Carlson, Mark & Styczynski, Mary-Frances, 2023. "The effect of the Federal Reserve’s lending facility on PPP lending by commercial banks," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    36. Zhang, Mingxin & Lin, Min & Sun, Yanmei & Wu, Weixing, 2025. "Targeted monetary policy and household business credit access: Based on the credit asset pledge relending policy," Emerging Markets Review, Elsevier, vol. 66(C).

  30. Michael J. Fleming & Frank M. Keane & Antoine Martin & Michael McMorrow, 2014. "What Explains the June Spike in Treasury Settlement Fails?," Liberty Street Economics 20140919a, Federal Reserve Bank of New York.

    Cited by:

    1. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.

  31. Michael J. Fleming & Frank M. Keane & Antoine Martin & Michael McMorrow, 2014. "Measuring Settlement Fails," Liberty Street Economics 20140919b, Federal Reserve Bank of New York.

    Cited by:

    1. Pedro Gurrola-Perez & Jieshuang He & Gary Harper, 2019. "Securities settlement fails network and buy‑in strategies," Bank of England working papers 821, Bank of England.

  32. Michael J. Fleming & Asani Sarkar, 2014. "The Failure Resolution of Lehman Brothers," Liberty Street Economics 20140403, Federal Reserve Bank of New York.

    Cited by:

    1. Biais, Bruno & Heider, Florian & Hoerova, Marie, 2022. "Variation margins, fire-sales and information-constrained optimality," TSE Working Papers 126554, Toulouse School of Economics (TSE).
    2. Santoni, Alessandro & Rossignol, Ghislain & Akhouen, Richard, 2023. "Wind-down of bank trading books," Occasional Paper Series 316, European Central Bank.
    3. Siebenbrunner, Christoph & Hafner-Guth, Martin & Spitzer, Ralph & Trappl, Stefan, 2024. "Assessing the systemic risk impact of bank bail-ins," Journal of Financial Stability, Elsevier, vol. 71(C).
    4. Linda S. Goldberg, 2024. "Global Liquidity: Drivers, Volatility and Toolkits," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 1-31, March.
    5. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    6. Ghamami, Samim & Glasserman, Paul & Young, Hobart, 2022. "Collateralized networks," LSE Research Online Documents on Economics 107496, London School of Economics and Political Science, LSE Library.
    7. Ahnert, Toni & Anand, Kartik & Gai, Prasanna & Chapman, James, 2018. "Asset encumbrance, bank funding and fragility," LSE Research Online Documents on Economics 118919, London School of Economics and Political Science, LSE Library.
    8. Metrick, Andrew, 2019. "The Lehman Brothers Bankruptcy G: The Special Case of Derivatives," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(1), pages 151-171, March.
    9. Friesz, Melinda & Váradi, Kata, 2023. "Your skin or mine: Ensuring the viability of a central counterparty," Emerging Markets Review, Elsevier, vol. 57(C).
    10. Ma, Chang & Nguyen, Xuan-Hai, 2021. "Too big to fail and optimal regulation," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 747-758.
    11. Bruno Biais, 2016. "Optimal margins and equilibrium prices," 2016 Meeting Papers 270, Society for Economic Dynamics.

  33. Dunne, Peter G. & Fleming, Michael J. & Zholos, Andrey, 2014. "ECB Monetary Operations and the Interbank Repo Market," Research Technical Papers 09/RT/14, Central Bank of Ireland.

    Cited by:

    1. Wiliiam Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2017. "Eurosystem s asset purchases and money market rates," Working papers 652, Banque de France.
    2. Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
    3. Sophie Moinas & Minh Nguyen & Giorgio Valente, 2018. "Funding Constraints and Market Illiquidity in the European Treasury Bond Market," EconPol Working Paper 13, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    4. Ebner, André & Fecht, Falko & Schulz, Alexander, 2016. "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers 14/2016, Deutsche Bundesbank.
    5. Arnold, Ivo J.M. & Soederhuizen, Beau, 2018. "Bank stability and refinancing operations during the crisis: Which way causality?," Research in International Business and Finance, Elsevier, vol. 43(C), pages 79-89.
    6. Anne-Caroline Hüser & Caterina Lepore & Luitgard Veraart, 2021. "How Does the Repo Market Behave Under Stress? Evidence From the COVID-19 Crisis," IMF Working Papers 2021/267, International Monetary Fund.
    7. Arrata, William & Nguyen, Benoît & Rahmouni-Rousseau, Imène & Vari, Miklos, 2020. "The scarcity effect of QE on repo rates: Evidence from the euro area," Journal of Financial Economics, Elsevier, vol. 137(3), pages 837-856.
    8. Hattori, Takahiro, 2019. "Do liquidity enhancement auctions improve the market liquidity in the JGB market?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.

  34. Tobias Adrian & Michael J. Fleming, 2013. "The Recent Bond Market Selloff in Historical Perspective," Liberty Street Economics 20130805, Federal Reserve Bank of New York.

    Cited by:

    1. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.

  35. Michael J. Fleming & Giang Nguyen, 2013. "Price and size discovery in financial markets: evidence from the U.S. Treasury securities market," Staff Reports 624, Federal Reserve Bank of New York.

    Cited by:

    1. He, William Peng & Lepone, Andrew, 2014. "Determinants of liquidity and execution probability in exchange operated dark pool: Evidence from the Australian Securities Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 1-16.
    2. Corey Garriott & Adrian Walton, 2016. "Retail Order Flow Segmentation," Staff Working Papers 16-20, Bank of Canada.
    3. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    4. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
    5. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    6. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    7. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.

  36. Tobias Adrian & Michael J. Fleming & Jonathan Goldberg & Morgan Lewis & Fabio M. Natalucci & Jason J. Wu, 2013. "Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets," FEDS Notes 2013-10-16, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    2. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    3. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    4. International Monetary Fund, 2015. "United States: Financial Sector Assessment Program-Stress Testing-Technical Notes," IMF Staff Country Reports 2015/173, International Monetary Fund.
    5. Roel Beetsma & Massimo Giuliodori & Jesper Hanson & Frank De Jong, 2018. "Cross‐Border Auction Cycle Effects of Sovereign Bond Issuance in the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1401-1440, October.
    6. Jieun Lee, 2023. "Dollar and government bond liquidity: evidence from Korea," BIS Working Papers 1145, Bank for International Settlements.
    7. Michiel De Pooter & Giovanni Favara & Michele Modugno & Jason J. Wu, 2020. "Monetary Policy Uncertainty and Monetary Policy Surprises," Finance and Economics Discussion Series 2020-032, Board of Governors of the Federal Reserve System (U.S.).
    8. Abhishek Kumar & Sushanta Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2023. "Market Volatility, Monetary Policy and the Term Premium," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 208-237, February.
    9. Silvia Bressan, 2017. "A Short Note on the Funding of Investment Firms Across the Crisis: Did the Turmoil Bring Changes?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-3.
    10. De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Reprint: Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 114(C).
    11. Lee, Jieun, 2024. "Dollar and government bond liquidity: Evidence from Korea," Journal of International Economics, Elsevier, vol. 152(C).
    12. Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.

  37. Meryam Bukhari & Alyssa Cambron & Michael J. Fleming & Jonathan McCarthy & Julie Remache, 2013. "The SOMA Portfolio through Time," Liberty Street Economics 20130812, Federal Reserve Bank of New York.

    Cited by:

    1. Adrien D'Avernas & Quentin Vandeweyer, 2024. "Treasury Bill Shortages and the Pricing of Short‐Term Assets," Journal of Finance, American Finance Association, vol. 79(6), pages 4083-4141, December.

  38. Jennie Bai & Michael J. Fleming & Casidhe Horan, 2013. "The Microstructure of China's Government Bond Market," Staff Reports 622, Federal Reserve Bank of New York.

    Cited by:

    1. Smales, L.A., 2017. "Commodity market volatility in the presence of U.S. and Chinese macroeconomic news," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 15-27.
    2. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2020. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," CEPR Discussion Papers 14986, C.E.P.R. Discussion Papers.
    3. David Alaminos & María Belén Salas & Manuel A. Fernández-Gámez, 2024. "High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2263-2354, October.
    4. Wang, Lirong & Zhou, Jinnan & Hueng, C. James, 2022. "Dynamics of gross capital flows and financial stress in China," Finance Research Letters, Elsevier, vol. 44(C).

  39. Michael J. Fleming & Sean Myers, 2013. "Primary Dealers’ Waning Role in Treasury Auctions," Liberty Street Economics 20130220, Federal Reserve Bank of New York.

    Cited by:

    1. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.

  40. Michael J. Fleming, 2012. "Federal Reserve liquidity provision during the financial crisis of 2007-2009," Staff Reports 563, Federal Reserve Bank of New York.

    Cited by:

    1. Markus Hoermann & Andreas Schabert, 2013. "A Monetary Analysis of Balance Sheet Policies," Working Paper Series in Economics 68, University of Cologne, Department of Economics.
    2. Haelim Anderson & Selman Erol & Guillermo Ordoñez, 2020. "Interbank Networks in the Shadows of the Federal Reserve Act," NBER Working Papers 27721, National Bureau of Economic Research, Inc.
    3. Chen, Wei-Da & Chen, Yehning & Huang, Shu-Chun, 2021. "Liquidity risk and bank performance during financial crises," Journal of Financial Stability, Elsevier, vol. 56(C).
    4. Iñaki Aldasoro & Torsten Ehlers, 2018. "The geography of dollar funding of non-US banks," BIS Quarterly Review, Bank for International Settlements, December.
    5. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    6. León, Carlos & Machado, Clara & Sarmiento, Miguel, 2018. "Identifying central bank liquidity super-spreaders in interbank funds networks," Journal of Financial Stability, Elsevier, vol. 35(C), pages 75-92.
    7. Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020. "A structural investigation of quantitative easing," IMFS Working Paper Series 142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    8. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.
    9. Yeon-Koo Che & Chongwoo Choe & Keeyoung Rhee, 2020. "Bailout Stigma," Papers 2006.05640, arXiv.org, revised Oct 2023.
    10. Claudio Borio & Anna Zabai, 2016. "Unconventional monetary policies: a re-appraisal," BIS Working Papers 570, Bank for International Settlements.
    11. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    12. Tanju Yorulmazer, 2014. "Case studies on disruptions during the crisis," Economic Policy Review, Federal Reserve Bank of New York, issue Feb, pages 17-28.
    13. Yu, Ziliang & Liu, Xiaomeng & Liu, Zhuqing & Li, Yang, 2023. "Central bank swap arrangements and exchange rate volatility: Evidence from China," Emerging Markets Review, Elsevier, vol. 56(C).
    14. William Goulding & Daniel E. Nolle, 2012. "Foreign banks in the U.S.: a primer," International Finance Discussion Papers 1064, Board of Governors of the Federal Reserve System (U.S.).
    15. John O.S. Wilson, 2014. "Discussion of Bord and Santos," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 47-52, February.
    16. Jennie Bai & Arvind Krishnamurthy & Charles†Henri Weymuller, 2018. "Measuring Liquidity Mismatch in the Banking Sector," Journal of Finance, American Finance Association, vol. 73(1), pages 51-93, February.
    17. Emmanuel Carré & Laurent Le Maux, 2018. "Globalisation financière et Dollar Swap Lines : la Réserve fédérale et la Banque centrale européenne durant la crise de 2007-2009," Working Papers hal-01933930, HAL.
    18. zhang, zhichao & Xie, Li & lu, xiangyun & zhang, zhuang, 2014. "Determinants of financial distress in u.s. large bank holding companies," MPRA Paper 53545, University Library of Munich, Germany.
    19. Robert A. Eisenbeis & George G. Kaufman, 2016. "Not All Financial Crises Are Alike!," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 44(1), pages 1-31, March.
    20. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    21. Viral V Acharya & Bruce Tuckman, 2014. "Unintended Consequences of LOLR Facilities: The Case of Illiquid Leverage," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 62(4), pages 606-655, November.
    22. Gary Gorton & Toomas Laarits & Andrew Metrick, 2018. "The Run on Repo and the Fed's Response," NBER Working Papers 24866, National Bureau of Economic Research, Inc.
    23. Armanious, Amir & Zhao, Ruoyun, 2024. "Stock liquidity effect on leverage: The role of debt security, financial constraint, and risk around the global financial crisis and Covid-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 92(C).
    24. Renee Courtois Haltom & Jeffrey M. Lacker, 2013. "Should the Fed Have a Financial Stability Mandate? Lessons from the Fed's first 100 Years," Annual Report, Federal Reserve Bank of Richmond, pages 5-25.
    25. Margaret M. Jacobson & Ellis W. Tallman, 2013. "Liquidity provision during the crisis of 1914: private and public sources," Working Papers (Old Series) 1304, Federal Reserve Bank of Cleveland.
    26. Thomas L. Hogan & Linh Le & Alexander William Salter, 2015. "Ben Bernanke and Bagehot's Rules," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(2-3), pages 333-348, March.
    27. Ralf R. Meisenzahl & Karen M. Pence, 2022. "Crisis Liquidity Facilities with Nonbank Counterparties: Lessons from the Term Asset-Backed Securities Loan Facility," Finance and Economics Discussion Series 2022-021, Board of Governors of the Federal Reserve System (U.S.).
    28. Ehsan U. Choudhri & Lawrence L. Schembri, 2013. "A Tale of Two Countries and Two Booms, Canada and the United States in the 1920s and the 2000s: The Roles of Monetary and Financial Stability Policies," Working Paper series 44_13, Rimini Centre for Economic Analysis.
    29. Chao Yuan & Hai Jiang & Jiawen Ren & Nikos Kapitsinis, 2024. "Collateral Monetary Policy, Regional Financial Development, and Nonfi nancial Firms' Shadow Banking Activities," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 32(5), pages 166-196, September.
    30. Mark A. Carlson & Zack Saravay & Mary Tian, 2025. "Fed Repo Operations and Dealer Intermediation," Finance and Economics Discussion Series 2025-052, Board of Governors of the Federal Reserve System (U.S.).
    31. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63.
    32. Yoldas, Emre & Senyuz, Zeynep, 2018. "Financial stress and equilibrium dynamics in term interbank funding markets," Journal of Financial Stability, Elsevier, vol. 34(C), pages 136-149.
    33. Anbil, Sriya & Carlson, Mark & Styczynski, Mary-Frances, 2023. "The effect of the Federal Reserve’s lending facility on PPP lending by commercial banks," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    34. Hogan, Thomas L., 2021. "Bank lending and interest on excess reserves: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 69(C).
    35. Hattori, Takahiro, 2019. "Do liquidity enhancement auctions improve the market liquidity in the JGB market?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.

  41. Robert Engle & Michael J. Fleming & Eric Ghysels & Giang Nguyen, 2012. "Liquidity and volatility in the U.S. treasury market," Staff Reports 590, Federal Reserve Bank of New York.

    Cited by:

    1. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    2. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    3. Wycliffe Oluoch & Kalu Ojah, 2024. "Financial Market Development and the Microstructure of Corporate Bond Markets in Africa: A Survey," The African Finance Journal, Africagrowth Institute, vol. 26(1), pages 1-33.
    4. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    5. Carmen Broto & Matías Lamas, 2019. "Is market liquidity less resilient after the financial crisis? Evidence for us treasuries," Working Papers 1917, Banco de España.
    6. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    7. Yide Wang & Chao Yu & Xujie Zhao, 2023. "Does herding effect help forecast market volatility?—Evidence from the Chinese stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(5), pages 1275-1290, August.
    8. Ben Omrane, Walid & Tao, Yusi & Welch, Robert, 2017. "Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis," Research in International Business and Finance, Elsevier, vol. 42(C), pages 9-30.
    9. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
    10. Andrew C. Meldrum & Oleg Sokolinskiy, 2023. "The Effects of Volatility on Liquidity in the Treasury Market," Finance and Economics Discussion Series 2023-028, Board of Governors of the Federal Reserve System (U.S.).
    11. Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.
    12. Kevin Salyer & Athanasios Geromichalos & Lucas Herrenbrueck, 2013. "A Search-Theoretic Model of the Term Premium," Working Papers 300, University of California, Davis, Department of Economics.
    13. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    14. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    15. Eleni Gousgounis & Scott Mixon & Tugkan Tuzun & Clara Vega, 2025. "Market Liquidity in Treasury Futures Market During March 2020," Finance and Economics Discussion Series 2025-038, Board of Governors of the Federal Reserve System (U.S.).
    16. Coppola, Anna & Urga, Giovanni & Varaldo, Alessandro, 2025. "Asset class liquidity risk indicators. Timing the risk in the European and US equity and bond markets," Journal of Financial Stability, Elsevier, vol. 76(C).
    17. Clements, Adam & Liao, Yin, 2017. "Forecasting the variance of stock index returns using jumps and cojumps," International Journal of Forecasting, Elsevier, vol. 33(3), pages 729-742.
    18. Markus Engler & Vahidin Jeleskovic, 2016. "Intraday volatility, trading volume and trading intensity in the interbank market e-MID," MAGKS Papers on Economics 201648, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    19. Andrew C. Meldrum & Oleg Sokolinskiy, 2025. "The Relationship between Market Depth and Liquidity Fragility in the Treasury Market," Finance and Economics Discussion Series 2025-014, Board of Governors of the Federal Reserve System (U.S.).
    20. Z. Sun & P. A. Hamill & Y. Li & Y. C. Yang & S. A. Vigne, 2019. "Did long-memory of liquidity signal the European sovereign debt crisis?," Annals of Operations Research, Springer, vol. 282(1), pages 355-377, November.
    21. Kinkyo, Takuji, 2020. "Volatility interdependence on foreign exchange markets: The contribution of cross-rates," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    22. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
    23. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    24. Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
    25. Siikanen, Milla & Kanniainen, Juho & Valli, Jaakko, 2017. "Limit order books and liquidity around scheduled and non-scheduled announcements: Empirical evidence from NASDAQ Nordic," Finance Research Letters, Elsevier, vol. 21(C), pages 264-271.
    26. R. Krishnan & Vinod Mishra, 2012. "Intraday Liquidity Patterns in Indian Stock Market," Monash Economics Working Papers 34-12, Monash University, Department of Economics.

  42. Michael J. Fleming & John Jackson & Ada Li & Asani Sarkar & Patricia Zobel, 2012. "An analysis of OTC interest rate derivatives transactions: implications for public reporting," Staff Reports 557, Federal Reserve Bank of New York.

    Cited by:

    1. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    2. Lawrence L Kreicher & Robert Neil McCauley & Philip Wooldridge, 2017. "The bond benchmark continues to tip to swaps," BIS Quarterly Review, Bank for International Settlements, March.
    3. Michele Bonollo & Irene Crimaldi & Andrea Flori & Laura Gianfagna & Fabio Pammolli, 2016. "Assessing financial distress dependencies in OTC markets: a new approach using trade repositories data," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(4), pages 397-426, November.
    4. Michele Fabrizi & Xing Huan & Antonio Parbonetti, 2021. "When LIBOR becomes LIEBOR: Reputational penalties and bank contagion," The Financial Review, Eastern Finance Association, vol. 56(1), pages 157-178, February.
    5. Filip Zikes, 2017. "Measuring Transaction Costs in the Absence of Timestamps," Finance and Economics Discussion Series 2017-045, Board of Governors of the Federal Reserve System (U.S.).
    6. Lin, Li & Surti, Jay, 2015. "Capital requirements for over-the-counter derivatives central counterparties," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 140-155.

  43. Dunne, Peter & Fleming, Michael J. & Zholos, Andrey, 2011. "Repo Market Microstructure in Unusual Monetary Policy Conditions," Research Technical Papers 8/RT/11, Central Bank of Ireland.

    Cited by:

    1. Thesmar, David & Ors, Evren & Derrien, Francois & Boissel, Charles, 2015. "Systemic Risk in Clearing Houses: Evidence from the European Repo Market," HEC Research Papers Series 1112, HEC Paris.
    2. Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
    3. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    4. Ebner, André & Fecht, Falko & Schulz, Alexander, 2016. "How central is central counterparty clearing? A deep dive into a European repo market during the crisis," Discussion Papers 14/2016, Deutsche Bundesbank.
    5. Alejandro Bernales & M. di Filippo, 2016. "The Information Contained in Money Market Interactions: Unsecured vs. Collateralized Lending," Working papers 598, Banque de France.
    6. Loriano Mancini & Angelo Ranaldo & Jan Wrampelmeyer, 2016. "The Euro Interbank Repo Market," The Review of Financial Studies, Society for Financial Studies, vol. 29(7), pages 1747-1779.
    7. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69, April.
    8. Buschmann, Christian & Schmaltz, Christian, 2017. "Sovereign collateral as a Trojan Horse: Why do we need an LCR+," Journal of Financial Stability, Elsevier, vol. 33(C), pages 311-330.

  44. Kathryn Chen & Michael J. Fleming & John Jackson & Ada Li & Asani Sarkar, 2011. "An analysis of CDS transactions: implications for public reporting," Staff Reports 517, Federal Reserve Bank of New York.

    Cited by:

    1. Groba, Jonatan & Lafuente, Juan A. & Serrano, Pedro, 2013. "The impact of distressed economies on the EU sovereign market," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2520-2532.
    2. Kanno, Masayasu, 2020. "Interconnectedness and systemic risk in the US CDS market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
    4. Thomas B. King & Kurt F. Lewis, 2015. "Credit Risk, Liquidity and Lies," Finance and Economics Discussion Series 2015-112, Board of Governors of the Federal Reserve System (U.S.).
    5. Trebesch, Christoph & Chamon, Marcos & Schumacher, Julian, 2018. "Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?," CEPR Discussion Papers 13020, C.E.P.R. Discussion Papers.
    6. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
    7. Chan-Lau, Jorge A. & Liu, Estelle X. & Schmittmann, Jochen M., 2013. "Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis," Discussion Papers 32/2013, Deutsche Bundesbank.
    8. Vuillemey, Guillaume & Peltonen, Tuomas A., 2015. "Disentangling the bond–CDS nexus: A stress test model of the CDS market," Economic Modelling, Elsevier, vol. 49(C), pages 32-45.
    9. Gao, Feng & Li, Yubin & Wang, Xinjie & Zhong, Zhaodong (Ken), 2021. "Corporate social responsibility and the term structure of CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    10. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    11. Xinjie Wang & Yangru Wu & Zhaodong (Ken) Zhong, 2020. "The Comovements Of Stock, Bond, And Cds Illiquidity Before, During, And After The Global Financial Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 965-998, December.
    12. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
    13. Gregor Helmut Schoenemann, 2022. "The man in the middle—liquidity provision under central clearing in the credit default swap market: A regression discontinuity approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 446-471, March.
    14. Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.
    15. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.
    16. Procasky, William J., 2021. "Price discovery in CDS and equity markets: Default risk-based heterogeneity in the systematic investment grade and high yield sectors," Journal of Financial Markets, Elsevier, vol. 54(C).
    17. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
    18. Oehmke, Martin & Zawadowski, Adam, 2016. "The anatomy of the CDS market," LSE Research Online Documents on Economics 118964, London School of Economics and Political Science, LSE Library.
    19. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
    20. Mixon, Scott & Onur, Esen & Riggs, Lynn, 2018. "Integrating swaps and futures: A new direction for commodity research," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 3-21.
    21. Nina Boyarchenko & Anna M. Costello & Or Shachar, 2018. "Credit Market Choice," Liberty Street Economics 20181017, Federal Reserve Bank of New York.
    22. Langkamp, Christian, 2011. "Counterparty credit risk management in industrial corporates," MPRA Paper 34358, University Library of Munich, Germany.
    23. Ballester, Laura & Casu, Barbara & González-Urteaga, Ana, 2016. "Bank fragility and contagion: Evidence from the bank CDS market," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 394-416.
    24. Liu, Jinyu & Zhong, Rui, 2017. "Political uncertainty and a firm's credit risk: Evidence from the international CDS market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 53-66.
    25. Yalin Gündüz & Steven Ongena & Gunseli Tumer-Alkan & Yuejuan Yu, 2023. "CDS and Credit: The Effect of the Bangs on Credit Insurance, Lending and Hedging," Swiss Finance Institute Research Paper Series 23-102, Swiss Finance Institute.
    26. Stephens, Eric & Thompson, James R., 2017. "Information asymmetry and risk transfer markets," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 88-99.
    27. Darrell Duffie & Martin Scheicher & Guillaume Vuillemey, 2014. "Central Clearing and Collateral Demand," NBER Working Papers 19890, National Bureau of Economic Research, Inc.
    28. Pereira da Silva, Paulo & Vieira, Isabel & Vieira, Carlos, 2015. "M&A operations: Further evidence of informed trading in the CDS market," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 116-130.
    29. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2017. "Firm-Specific Risk-Neutral Distributions : The Role of CDS Spreads," International Finance Discussion Papers 1212, Board of Governors of the Federal Reserve System (U.S.).
    30. Wang, Xinjie & Wu, Yangru & Yan, Hongjun & Zhong, Zhaodong (Ken), 2021. "Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang," Journal of Financial Economics, Elsevier, vol. 139(2), pages 545-560.
    31. Nick Smyth & Anne Wetherilt, 2011. "Trading models and liquidity provision in OTC derivatives markets," Bank of England Quarterly Bulletin, Bank of England, vol. 51(4), pages 331-340.
    32. Łukasz Gątarek & Marcin Wojtowicz, 2015. "The relation between sovereign credit default swap premium and banking sector risk in Poland," NBP Working Papers 222, Narodowy Bank Polski.
    33. Sirio Aramonte & Mohammad Jahan-Parvar & Samuel Rosen & John W. Schindler, 2021. "Firm-specific risk-neutral distributions with options and CDS," BIS Working Papers 921, Bank for International Settlements.
    34. Marcin Wojtowicz, 2014. "The Determinants of CDS Bid-ask Spreads," Tinbergen Institute Discussion Papers 14-138/IV/ DSF82, Tinbergen Institute.
    35. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2015. "Hidden Illiquidity with Multiple Central Counterparties," Working Papers 15-07, Office of Financial Research, US Department of the Treasury.
    36. Iorgova, Silvia & Ross, Chase P., 2023. "Investor information and bank instability during the European debt crisis," Journal of Financial Stability, Elsevier, vol. 64(C).
    37. Joshua Slive & Jonathan Witmer & Elizabeth Woodman, 2012. "Liquidity and Central Clearing: Evidence from the CDS Market," Staff Working Papers 12-38, Bank of Canada.
    38. Marcin Wojtowicz, 2014. "Capital Structure Arbitrage revisited," Tinbergen Institute Discussion Papers 14-137/IV/DSF81, Tinbergen Institute.
    39. Alberto Fernández Muñoz de Morales, 2013. "Credit spread modeling effects on counterparty risk valuation adjustments: a spanish case study," Documentos de Trabajo del ICAE 2013-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    40. Paul Glasserman & Ciamac C. Moallemi & Kai Yuan, 2016. "Hidden Illiquidity with Multiple Central Counterparties," Operations Research, INFORMS, vol. 64(5), pages 1143-1158, October.
    41. Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
    42. Beltran, Daniel O. & Bolotnyy, Valentin & Klee, Elizabeth, 2021. "The federal funds network and monetary policy transmission: Evidence from the 2007–2009 financial crisis," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 187-202.

  45. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo market effects of the Term Securities Lending Facility," Staff Reports 426, Federal Reserve Bank of New York.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series WP-2011-04, Federal Reserve Bank of Chicago.
    3. Jérôme Creel & Paul Hubert & Mathilde Viennot, 2016. "The effect of ECB monetary policies on interest rates and volumes," Applied Economics, Taylor & Francis Journals, vol. 48(47), pages 4477-4501, October.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Wiliiam Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2017. "Eurosystem s asset purchases and money market rates," Working papers 652, Banque de France.
    6. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    7. Alyssa G. Anderson & John Kandrac, 2016. "Monetary Policy Implementation and Private Repo Displacement : Evidence from the Overnight Reverse Repurchase Facility," Finance and Economics Discussion Series 2016-096, Board of Governors of the Federal Reserve System (U.S.).
    8. Andrea Monticini & Francesco Ravazzolo, 2014. "Forecasting the intraday market price of money," DISCE - Working Papers del Dipartimento di Economia e Finanza def010, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    9. Adam Copeland & Darrell Duffie & Yilin (David) Yang, 2025. "Reserves Were Not So Ample After All," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 140(1), pages 239-281.
    10. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.
    11. Gary Gorton & Andrew Metrick, 2012. "Securitization," NBER Working Papers 18611, National Bureau of Economic Research, Inc.
    12. Jérôme Creel & Mathilde Viennot & Paul Hubert, 2013. "Assessing the Interest Rate and Bank Lending Channels of ECB Monetary Policies," SciencePo Working papers Main hal-01064261, HAL.
    13. Tiantao Guo & Yan Wang & Wanzhu Zhang, 2023. "Standing lending facility in interbank market: Evidence from China," PLOS ONE, Public Library of Science, vol. 18(5), pages 1-18, May.
    14. Claudio Borio & Anna Zabai, 2016. "Unconventional monetary policies: a re-appraisal," BIS Working Papers 570, Bank for International Settlements.
    15. Paulo José Saraiva & Luiz Fernando De Paula & André De Melo Modenesi, 2016. "A Crise Financeira Americana E As Implicações Para A Política Monetária," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 114, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    16. Greppmair, Stefan & Jank, Stephan, 2023. "Collateral scarcity and market functioning: Insights from the eurosystem securities lending facilities," Discussion Papers 31/2023, Deutsche Bundesbank.
    17. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2012. "Sizing Up Repo," NBER Working Papers 17768, National Bureau of Economic Research, Inc.
    18. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    19. Andreas Schabert, 2010. "Optimal Central Bank Lending," Tinbergen Institute Discussion Papers 10-057/2, Tinbergen Institute.
    20. Stephen Quinn & William Roberds, 2015. "Responding to a Shadow Banking Crisis: The Lessons of 1763," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(6), pages 1149-1176, September.
    21. Kick, Thomas & Koetter, Michael & Storz, Manuela, 2016. "Cross-border transmission of emergency liquidity," Discussion Papers 34/2016, Deutsche Bundesbank.
    22. Adam Copeland & Antoine Martin & Michael Walker, 2014. "Repo Runs: Evidence from the Tri-Party Repo Market," Journal of Finance, American Finance Association, vol. 69(6), pages 2343-2380, December.
    23. Kotaro Ishi & Mr. Kenji Fujita & Mr. Mark R. Stone, 2011. "Should Unconventional Balance Sheet Policies Be Added to the Central Bank toolkit? a Review of the Experience so Far," IMF Working Papers 2011/145, International Monetary Fund.
    24. Baltzer, Markus & Schlepper, Kathi & Speck, Christian, 2022. "The Eurosystem's asset purchase programmes, securities lending and Bund specialness," Discussion Papers 39/2022, Deutsche Bundesbank.
    25. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    26. Anne-Marie Rieu-Foucault, 2018. "Les interventions de crise de la FED et de la BCE diffèrent-elles ?," EconomiX Working Papers 2018-31, University of Paris Nanterre, EconomiX.
    27. Bui, Christina & Scheule, Harald & Wu, Eliza, 2020. "A cautionary tale of two extremes: The provision of government liquidity support in the banking sector," Journal of Financial Stability, Elsevier, vol. 51(C).
    28. Metrick, Andrew, 2020. "The Federal Reserve's Financial Crisis Response B: Lending & Credit Programs For Primary Dealers," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(2), pages 67-93, April.
    29. Sungbae An & Hyosang Kim & Seung-Hyun Kim & Da Young Yang & Jinhee Lee & Ko Un Cho & Wongi Kim & Jinill Kim, 2021. "포스트 코로나 시대 주요국의 통화·재정정책 방향과 시사점(hanges, Challenges and Implications of Fiscal and Monetary Policy Directions in the Post Pandemic Era)," Policy Analyses 21-15, Korea Institute for International Economic Policy.
    30. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    31. Gary Gorton & Andrew Metrick, 2013. "The Federal Reserve and Panic Prevention: The Roles of Financial Regulation and Lender of Last Resort," Journal of Economic Perspectives, American Economic Association, vol. 27(4), pages 45-64, Fall.
    32. Tobias Adrian & Adam B. Ashcraft, 2012. "shadow banking: a review of the literature," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
    33. Emmanuel Carré & Laurent Le Maux, 2018. "Globalisation financière et Dollar Swap Lines : la Réserve fédérale et la Banque centrale européenne durant la crise de 2007-2009," Working Papers hal-01933930, HAL.
    34. Metrick, Andrew, 2021. "The Rescue of Fannie Mae and Freddie Mac - Module Z: Overview," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 3(1), pages 447-503, April.
    35. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    36. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    37. Frederic Boissay & Russell Cooper, 2016. "The Collateral Trap," BIS Working Papers 565, Bank for International Settlements.
    38. Rustom M. Irani & Ralf R. Meisenzahl, 2015. "Loan Sales and Bank Liquidity Risk Management: Evidence from a U.S. Credit Register," Finance and Economics Discussion Series 2015-1, Board of Governors of the Federal Reserve System (U.S.).
    39. Martina Cecioni & Giuseppe Ferrero & Alessandro Secchi, 2011. "Unconventional Monetary Policy in Theory and in Practice," Questioni di Economia e Finanza (Occasional Papers) 102, Bank of Italy, Economic Research and International Relations Area.
    40. Morten L. Bech & Elizabeth C. Klee & Viktors Stebunovs, 2012. "Arbitrage, liquidity and exit: the repo and federal funds markets before, during, and emerging from the financial crisis," Finance and Economics Discussion Series 2012-21, Board of Governors of the Federal Reserve System (U.S.).
    41. Olivier Armantier & John Sporn, 2013. "Auctions implemented by the Federal Reserve Bank of New York during the Great Recession," Staff Reports 635, Federal Reserve Bank of New York.
    42. Cecilia R. Caglio & Adam Copeland & Antoine Martin, 2021. "The Value of Internal Sources of Funding Liquidity: U.S. Broker-Dealers and the Financial Crisis," Staff Reports 969, Federal Reserve Bank of New York.
    43. Grasso, Adriana & Poinelli, Andrea, 2025. "Flexible asset purchases and repo market functioning," Working Paper Series 3013, European Central Bank.
    44. Sabrina Pellerin & Steven Sabol & John R. Walter, 2013. "mREITs and their risks," Working Paper 13-19, Federal Reserve Bank of Richmond.
    45. Borghan Nezami Narajabad & Cyril Monnet, 2012. "Why Rent When You Can Buy? A Theory of Repurchase Agreements," 2012 Meeting Papers 647, Society for Economic Dynamics.
    46. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63.
    47. Narayan Bulusu & Pierre Guérin, 2018. "What Drives Interbank Loans? Evidence from Canada," Staff Working Papers 18-5, Bank of Canada.
    48. Eddie Gerba & Petros Katsoulis, 2021. "The repo market under Basel III," Bank of England working papers 954, Bank of England.
    49. Arrata, William & Nguyen, Benoît & Rahmouni-Rousseau, Imène & Vari, Miklos, 2020. "The scarcity effect of QE on repo rates: Evidence from the euro area," Journal of Financial Economics, Elsevier, vol. 137(3), pages 837-856.
    50. Anbil, Sriya & Carlson, Mark & Styczynski, Mary-Frances, 2023. "The effect of the Federal Reserve’s lending facility on PPP lending by commercial banks," Journal of Financial Intermediation, Elsevier, vol. 55(C).
    51. Bank for International Settlements, 2014. "Market-making and proprietary trading: industry trends, drivers and policy implications," CGFS Papers, Bank for International Settlements, number 52.
    52. Maurizio Trapanese, 2021. "The economics of non-bank financial intermediation: why do we need to fill the regulation gap?," Questioni di Economia e Finanza (Occasional Papers) 625, Bank of Italy, Economic Research and International Relations Area.
    53. Hattori, Takahiro, 2019. "Do liquidity enhancement auctions improve the market liquidity in the JGB market?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
    54. Alin OPREANA & Simona VINEREAN, 2015. "Analysis of the Economic Research Context after the Outbreak of the Economic Crisis of 2007-2009," Expert Journal of Economics, Sprint Investify, vol. 3(1), pages 77-92.

  46. Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009. "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports 381, Federal Reserve Bank of New York.

    Cited by:

    1. William Dudley, 2009. "The case for TIPS: an examination of the costs and benefits," Speech 11, Federal Reserve Bank of New York.
    2. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    3. Eric Ghysels & Giang Nguyen, 2019. "Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange," JRFM, MDPI, vol. 12(4), pages 1-26, October.
    4. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
    5. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    6. Comerton-Forde, Carole & Grégoire, Vincent & Zhong, Zhuo, 2019. "Inverted fee structures, tick size, and market quality," Journal of Financial Economics, Elsevier, vol. 134(1), pages 141-164.
    7. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
    8. Moinas, Sophie, 2010. "Hidden Limit Orders and Liquidity in Order Driven Markets," IDEI Working Papers 600, Institut d'Économie Industrielle (IDEI), Toulouse.
    9. Michael Fleming & Giang Nguyen & Francisco Ruela, 2024. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Management Science, INFORMS, vol. 70(1), pages 332-354, January.
    10. Yamamoto, Shuhei & Janzen, Joseph P. & Serra, Teresa, 2024. "Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century," Food Policy, Elsevier, vol. 128(C).
    11. Gábor Pintér & Chaojun Wang & Junyuan Zou, 2021. "Size Discount and Size Penalty Trading Costs in Bond Markets," Discussion Papers 2114, Centre for Macroeconomics (CFM).
    12. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    13. Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
    14. Mehdi Arzandeh & Julieta Frank & Justin Daniels, 2025. "Real‐Time Tracking of Public Announcements in the Limit Order Book," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(6), pages 569-599, June.
    15. Alex Aronovich & Andrew C. Meldrum, 2021. "High-Frequency Estimates of the Natural Real Rate and Inflation Expectations," Finance and Economics Discussion Series 2021-034, Board of Governors of the Federal Reserve System (U.S.).
    16. Chen, Marie & Garriott, Corey, 2020. "High-frequency trading and institutional trading costs," Journal of Empirical Finance, Elsevier, vol. 56(C), pages 74-93.
    17. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    18. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    19. Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
    20. Hajime Tomura, 2012. "On the Existence and Fragility of Repo Markets," Staff Working Papers 12-17, Bank of Canada.
    21. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
    22. Joel Hasbrouck, 2021. "Rejoinder on: Price Discovery in High Resolution," Journal of Financial Econometrics, Oxford University Press, vol. 19(3), pages 465-471.
    23. Hautsch, Nikolaus & Huang, Ruihong, 2012. "On the dark side of the market: Identifying and analyzing hidden order placements," SFB 649 Discussion Papers 2012-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. Song, Zhaogang & Zhu, Haoxiang, 2018. "Quantitative easing auctions of Treasury bonds," Journal of Financial Economics, Elsevier, vol. 128(1), pages 103-124.
    25. Dunne, Peter G & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.
    26. Jiang, George J. & Lo, Ingrid, 2014. "Private information flow and price discovery in the U.S. treasury market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 118-133.
    27. Dmitry Zotikov & Anton Antonov, 2019. "CME Iceberg Order Detection and Prediction," Papers 1909.09495, arXiv.org.
    28. Jacobs, Kris & Mai, Anh Thu, 2024. "The role of intermediaries in derivatives markets: Evidence from VIX options," Journal of Empirical Finance, Elsevier, vol. 77(C).
    29. Zhu, Hongyu & Yamamoto, Ryuichi, 2022. "Order submission, information asymmetry, and tick size," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).
    30. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    31. Wenqian Huang & Peter O'Neill & Angelo Ranaldo & Shihao Yu, 2023. "HFTs and Dealer Banks: Liquidity and Price Discovery in FX Trading," Swiss Finance Institute Research Paper Series 23-48, Swiss Finance Institute.
    32. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    33. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    34. Richie R. Ma & Teresa Serra, 2025. "Is liquidity provision informative? Evidence from agricultural futures markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 107(1), pages 125-151, January.
    35. Sun, Zhuowei & Dunne, Peter G. & Li, Youwei, 2015. "Price Discovery in the Dual-Platform US Treasury Market," MPRA Paper 61440, University Library of Munich, Germany.
    36. Coluzzi, Chiara & Ginebri, Sergio, 2008. "Order Dynamics in the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08050, University of Molise, Department of Economics.
    37. Onur, Esen & Roberts, John S. & Tuzun, Tugkan, 2023. "Trader positions and aggregate portfolio demand," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    38. Z. Sun & P. A. Hamill & Y. Li & Y. C. Yang & S. A. Vigne, 2019. "Did long-memory of liquidity signal the European sovereign debt crisis?," Annals of Operations Research, Springer, vol. 282(1), pages 355-377, November.
    39. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
    40. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.
    41. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
    42. Amaya, Diego & Filbien, Jean-Yves & Okou, Cédric & Roch, Alexandre F., 2018. "Distilling liquidity costs from limit order books," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 16-34.
    43. James, Robert & Jarnecic, Elvis & Leung, Henry, 2022. "Who Values Economist Forecasts? Evidence From Trading in Treasury Markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    44. Tang, Yunshu & Xie, Wenyan & Li, Dong Andrew & Ruan, Yaoyun, 2023. "Market liquidity migration’s effects on the relationship between stock liquidity and stock price crash risk: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 158-169.
    45. Nihad Aliyev & Matteo Aquilina & Khaladdin Rzayev & Sonya Zhu, 2024. "Through stormy seas: how fragile is liquidity across asset classes and time?," BIS Working Papers 1229, Bank for International Settlements.
    46. 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, Department of Economics.
    47. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
    48. Çağlayan-Gümüş, Ayşe & Karahan, Cenk C., 2024. "Information content of the limit order book: A cross-sectional analysis in Borsa Istanbul," Global Finance Journal, Elsevier, vol. 62(C).

  47. Michael J. Fleming & Neel Krishnan, 2009. "The microstructure of the TIPS market," Staff Reports 414, Federal Reserve Bank of New York.

    Cited by:

    1. William Dudley, 2009. "The case for TIPS: an examination of the costs and benefits," Speech 11, Federal Reserve Bank of New York.
    2. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers 16892, National Bureau of Economic Research, Inc.
    3. John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
    4. Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011. "Preferred-habitat investors and the US term structure of real rates," Bank of England working papers 435, Bank of England.
    5. Choi, Jaewon & Kronlund, Mathias & Oh, Ji Yeol Jimmy, 2022. "Sitting bucks: Stale pricing in fixed income funds," Journal of Financial Economics, Elsevier, vol. 145(2), pages 296-317.
    6. Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Working Papers ECARES ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
    7. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
    8. Agnieszka M. Chomicz-Grabowska & Lucjan T. Orlowski, 2020. "Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 655-669, October.
    9. Bill Dupor & Rong Li, 2013. "The Expected Inflation Channel of Government Spending in the Postwar U.S," Working Papers 2013-026, Federal Reserve Bank of St. Louis.
    10. Tang, Mei-Ling & Chen, Son-Nan & Lai, Gene C. & Wu, Ting-Pin, 2018. "Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 87-104.
    11. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
    12. Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
    13. Driessen, Joost & Nijman, Theo E. & Simon, Zorka, 2017. "The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets," SAFE Working Paper Series 183, Leibniz Institute for Financial Research SAFE.
    14. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    15. Ahn, Jungkyu & Ahn, Yongkil, 2023. "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    16. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
    17. Orlowski, Lucjan T. & Soper, Carolyne, 2019. "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, vol. 66(C).
    18. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.

  48. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Chen, Steven Shu-Hsiu, 2024. "Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds," Finance Research Letters, Elsevier, vol. 69(PB).
    3. Beetsma, R.M.W.J. & Giuliodori, M. & de Jong, F.C.J.M. & Widijanto, D., 2014. "Price effects of sovereign debt auctions in the Euro-zone : The role of the crisis," Other publications TiSEM 8e7aa91b-fe20-460e-9ff2-e, Tilburg University, School of Economics and Management.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
    6. Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
    7. Beetsma, Roel & van Spronsen, Josha, 2019. "Unconventional Monetary Policy and Auction Cycles of Eurozone Sovereign Debt," CEPR Discussion Papers 14099, C.E.P.R. Discussion Papers.
    8. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    9. Francisco Alvarez & Cristina Mazon, 2019. "Overpricing in Spanish Treasury Auctions," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 199-220, May.
    10. Adam Epp & Jeffrey Gao, 2025. "Les fonds de couverture : un filet pour l’augmentation des émissions d’obligations du gouvernement?," Discussion Papers 2025-07fr, Bank of Canada.
    11. Cafiso, Gianluca, 2019. "Sovereign bond markets when auctions take place: Evidence from Italy," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 406-430.
    12. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    13. Klingler, Sven & Sundaresan, Suresh, 2023. "Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 55-69.
    14. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    15. Ferrara, Federico Maria, 2024. "Central bank asset purchases and auction cycles revisited: new evidence from the euro area," Working Paper Series 2927, European Central Bank.
    16. Adam Epp & Jeffrey Gao, 2025. "Are Hedge Funds a Hedge for Increasing Government Debt Issuance?," Discussion Papers 2025-07, Bank of Canada.
    17. Beetsma, Roel & Giuliodori, Massimo & Hanson, Jesper & de Jong, Frank, 2020. "Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 96-120.
    18. Jennie Bai & Michael J. Fleming & Casidhe Horan, 2013. "The Microstructure of China's Government Bond Market," Staff Reports 622, Federal Reserve Bank of New York.

  49. Michael J. Fleming & Kenneth D. Garbade & Frank M. Keane, 2004. "Anomalous bidding in short-term Treasury bill auctions," Staff Reports 184, Federal Reserve Bank of New York.

    Cited by:

    1. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei.
    2. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    3. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.
    4. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    5. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.

  50. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Staff Reports 145, Federal Reserve Bank of New York.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. YV Reddy, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 39-40, Bank for International Settlements.
    3. William Dudley, 2009. "The case for TIPS: an examination of the costs and benefits," Speech 11, Federal Reserve Bank of New York.
    4. G. Hübner & R. Joliet, 2013. "Government debt denomination policies before and after the EMU advent," Post-Print hal-00787175, HAL.
    5. Edouard Challe & François Le Grand & Xavier Ragot, 2007. "Incomplete markets, liquidation risk and the term structure of interest rates," PSE Working Papers halshs-00587679, HAL.
    6. Sigaux, Jean-David, 2018. "Trading ahead of treasury auctions," Working Paper Series 2208, European Central Bank.
    7. Emanuel R. Leao & Sergio C. Lagoa & David McMillan, 2015. "A contribution to the study of the German treasury bills market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1024927-102, December.
    8. Vayanos, Dimitri & Weill, Pierre-Olivier, 2006. "A Search-Based Theory of the On-the-Run Phenomenon," CEPR Discussion Papers 5965, C.E.P.R. Discussion Papers.
    9. Olesya Grishchenko & Franck Moraux & Olga Pakulyak, 2020. "Fuel up with OATmeals! The case of the French nominal yield curve," Post-Print halshs-02980563, HAL.
    10. Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011. "Preferred-habitat investors and the US term structure of real rates," Bank of England working papers 435, Bank of England.
    11. James Vickery & Joshua Wright, 2013. "TBA trading and liquidity in the agency MBS market," Economic Policy Review, Federal Reserve Bank of New York, vol. 19(May), pages 1-18.
    12. Dottori, Davide & Manna, Michele, 2016. "Strategy and tactics in public debt management," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 1-25.
    13. Vayanos, Dimitri & Wang, Tan, 2007. "Search and endogenous concentration of liquidity in asset markets," Journal of Economic Theory, Elsevier, vol. 136(1), pages 66-104, September.
    14. Anella Munro & Philip Wooldridge, 2011. "Motivations for swap-covered foreign currency borrowing," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 19-56, Bank for International Settlements.
    15. Passadore, Juan & Xu, Yu, 2022. "Illiquidity in sovereign debt markets," Journal of International Economics, Elsevier, vol. 137(C).
    16. Ajit Dayanandan & Jai Chander & N. R. V. V. M. K. Rajendra Kumar, 2023. "Size and liquidity of government securities in India," Indian Economic Review, Springer, vol. 58(1), pages 71-90, June.
    17. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "Debt-Maturity Management with Liquidity Costs," NBER Working Papers 25808, National Bureau of Economic Research, Inc.
    18. Saki Bigio & Galo Nuño & Juan Passadore, 2019. "A framework for debt-maturity management," Working Papers 1919, Banco de España.
    19. 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.
    20. Moorad Choudhry, 2010. "Measuring bond market liquidity: devising a composite aggregate liquidity score," Applied Financial Economics, Taylor & Francis Journals, vol. 20(12), pages 955-973.
    21. Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009. "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports 381, Federal Reserve Bank of New York.
    22. Livingston, Miles & Wu, Yanbin & Zhou, Lei, 2019. "The decline in idiosyncratic values of US Treasury securities," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    23. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, vol. 88(Nov), pages 527-542.
    24. Jens Dick-Nielsen & Jacob Gyntelberg, 2019. "Highly Liquid Mortgage Bonds Using the Match Funding Principle," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 1-37, December.
    25. Antonio Díaz, 2009. "Retail Investors and the Trading of Treasury Securities," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 45-63, August.
    26. Jens H. E. Christensen & Jose A. Lopez & Patrick J. Shultz, 2020. "Is There an On-the-Run Premium in TIPS?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-42, June.
    27. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    28. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
    29. Houweling, P. & Mentink, A.A. & Vorst, A.C.F., 2003. "Comparing possible proxies of corporate bond liquidity," Econometric Institute Research Papers EI 2003-49, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    30. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    31. Arcuri Maria Cristina & Gandolfi Gino & Monteux Manoux & Verga Giovanni, 2021. "The Relevance of Liquidity and Country Risk to Euro-Denominated Bonds and the Influence of ECB Monetary Policy," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 13(6), pages 1-1, June.
    32. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    33. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
    34. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis A., 2022. "Persistence in US Treasury bonds," Finance Research Letters, Elsevier, vol. 45(C).
    35. Audzeyeva, Alena & Schenk-Hoppé, Klaus Reiner, 2010. "The role of country, regional and global market risks in the dynamics of Latin American yield spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 404-422, October.
    36. Alquist, Ron, 2010. "How important is liquidity risk for sovereign bond risk premia? Evidence from the London stock exchange," Journal of International Economics, Elsevier, vol. 82(2), pages 219-229, November.
    37. Athanasios Geromichalos & Lucas Herrenbrueck & Changhyun Lee & Sukjoon Lee, 2024. "What’s so Inconvenient About TIPS?," Working Papers 364, University of California, Davis, Department of Economics.
    38. R. Jankowitsch & H. Mosenbacher & S. Pichler, 2006. "Measuring the liquidity impact on EMU government bond prices," The European Journal of Finance, Taylor & Francis Journals, vol. 12(2), pages 153-169.
    39. Michał Krawczyk, 2009. "Demand functions in Polish Treasury auctions," Bank i Kredyt, Narodowy Bank Polski, vol. 40(4), pages 31-49.
    40. Seth Kopchak, 2014. "The absorption effect of US Treasury auctions," Review of Quantitative Finance and Accounting, Springer, vol. 43(1), pages 21-44, July.
    41. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    42. Jacob Boudoukh & Jordan Brooks & Matthew Richardson & Zhikai Xu, 2016. "The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds," NBER Working Papers 22576, National Bureau of Economic Research, Inc.
    43. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2007. "An empirical examination of intraday volatility in on-the-run U.S. Treasury bills," Journal of Economics and Business, Elsevier, vol. 59(6), pages 487-499.
    44. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
    45. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, March.
    46. 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, Department of Economics.
    47. Preget, Raphaele & Waelbroeck, Patrick, 2005. "Treasury bill auction procedures: Empirical perspectives from French market bid functions," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1054-1072, November.
    48. Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
    49. Klenio Barbosa & Dakshina De Silva & Liyu Yang & Hisayuki Yoshimoto, 2020. "Bond Losses and Systemic Risk," Working Papers 288072615, Lancaster University Management School, Economics Department.
    50. Narayan Bulusu & Sermin Gungor, 2021. "The life cycle of trading activity and liquidity of Government of Canada bonds: Evidence from cash, repo and securities lending markets," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(2), pages 557-581, May.
    51. 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," Staff Working Papers 03-28, Bank of Canada.

  51. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.

    Cited by:

    1. Mr. Michael Kumhof & Mr. Evan C Tanner, 2005. "Government Debt: A Key Role in Financial Intermediation," IMF Working Papers 2005/057, International Monetary Fund.
    2. Mr. Iryna V. Ivaschenko & Mr. Jorge A Chan-Lau, 2001. "Corporate Bond Risk and Real Activity: An Empirical Analysis of Yield Spreads and Their Systematic Components," IMF Working Papers 2001/158, International Monetary Fund.
    3. Henning Bohn, 2010. "The Economic Consequences of Rising U.S. Government Debt: Privileges at Risk," CESifo Working Paper Series 3079, CESifo.
    4. Michael J. Fleming & Kenneth D. Garbade, 2004. "Repurchase agreements with negative interest rates," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 10(Apr).
    5. Claudio E. V. Borio, 2004. "Market distress and vanishing liquidity: anatomy and policy options," BIS Working Papers 158, Bank for International Settlements.
    6. Orazio Mastroeni, 2001. "Pfandbrief-style products in Europe," 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 44-66, Bank for International Settlements.
    7. Roberto Blanco, 2001. "The Euro-Area Government Securities Markets. Recent Developments and Implications for Market Functioning," Working Papers 0120, Banco de España.
    8. Study group on fixed income markets, 2001. "The changing shape of fixed income markets," 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 1-43, Bank for International Settlements.
    9. Kenneth D. Garbade & John Kambhu, 2005. "Why is the U.S. Treasury contemplating becoming a lender of last resort for Treasury securities?," Staff Reports 223, Federal Reserve Bank of New York.
    10. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2001. "Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows," Staff Reports 141, Federal Reserve Bank of New York.
    11. the Study group on fixed income markets, 2001. "The changing shape of fixed income markets," BIS Working Papers 104, Bank for International Settlements.
    12. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    13. Bohn, Henning, 2010. "The Economic Consequences of Rising U.S. Government Debt: Privileges at Risk," University of California at Santa Barbara, Economics Working Paper Series qt7kz6v3zs, Department of Economics, UC Santa Barbara.
    14. Michael J. Fleming & Kenneth D. Garbade, 2005. "Explaining settlement fails," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Sep).
    15. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, March.
    16. Brutti, Filippo, 2011. "Sovereign defaults and liquidity crises," Journal of International Economics, Elsevier, vol. 84(1), pages 65-72, May.

  52. Michael J. Fleming, 2001. "Measuring treasury market liquidity," Staff Reports 133, Federal Reserve Bank of New York.

    Cited by:

    1. Kwamie Dunbar, . "An Empirical Review of United States Corporate Default Swap Valuation: The Implications of Functional Forms," Fordham Economics Dissertations, Fordham University, Department of Economics, number 2005.2.
    2. Kettemann, Andreas & Krogstrup, Signe, 2014. "Portfolio balance effects of the Swiss National Bank’s bond purchase program," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 132-149.
    3. William Dudley, 2009. "The case for TIPS: an examination of the costs and benefits," Speech 11, Federal Reserve Bank of New York.
    4. Lebelle, Martin & Lajili Jarjir, Souad & Sassi, Syrine, 2022. "The effect of issuance documentation disclosure and readability on liquidity: Evidence from green bonds," Global Finance Journal, Elsevier, vol. 51(C).
    5. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
    6. Emre Su & Kaya Tokmakçıoğlu, 2023. "Determinants of bid-ask spread in emerging sovereign bond markets," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 346-352, September.
    7. Maria Ludovica Drudi & Giulio Carlo Venturi, 2023. "Assessing the liquidity premium in the Italian bond market," Questioni di Economia e Finanza (Occasional Papers) 795, Bank of Italy, Economic Research and International Relations Area.
    8. Darrell Duffie & Michael J. Fleming & Frank M. Keane & Claire Nelson & Or Shachar & Peter Van Tassel, 2023. "Dealer Capacity and U.S. Treasury Market Functionality," Staff Reports 1070, Federal Reserve Bank of New York.
    9. Tambakis, D.N., 2008. "Feedback Trading and Intermittent Market Turbulence," Cambridge Working Papers in Economics 0847, Faculty of Economics, University of Cambridge.
    10. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
    11. John A. James & David F. Weiman, 2010. "From Drafts to Checks: The Evolution of Correspondent Banking Networks and the Formation of the Modern U.S. Payments System, 1850-1914," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(2-3), pages 237-265, March.
    12. Leo Krippner, 2012. "A theoretical foundation for the Nelson and Siegel class of yield curve models," CAMA Working Papers 2012-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    13. Graveline, Jeremy J. & McBrady, Matthew R., 2011. "Who makes on-the-run Treasuries special?," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 620-632, October.
    14. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc.
    15. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    16. Bernoth, Kerstin & Erdogan, Burcu, 2012. "Sovereign bond yield spreads: A time-varying coefficient approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
    17. Sergio Mayordomo & Juan Ignacio Peña & María Rodríguez-Moreno, 2012. "Liquidity Commonalities in the Corporate CDS Market around the 2007-2012 Financial Crisis," Faculty Working Papers 23/12, School of Economics and Business Administration, University of Navarra.
    18. William T. Lin & David S. Sun, 2007. "Liquidity-Adjusted Benchmark Yield Curves: A Look at Trading Concentration and Information," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(04), pages 491-518.
    19. Contessi, Silvio & De Pace, Pierangelo & Guidolin, Massimo, 2014. "How did the financial crisis alter the correlations of U.S. yield spreads?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 362-385.
    20. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    21. John Muellbauer, 2013. "Conditional Eurobonds and the Eurozone Sovereign Debt Crisis," Economics Series Working Papers 681, University of Oxford, Department of Economics.
    22. Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.
    23. Jakree Koosakul & Ilhyock Shim, 2017. "The beneficial aspect of FX volatility for market liquidity," BIS Working Papers 629, Bank for International Settlements.
    24. Mizrach, Bruce & Neely, Christopher J., 2008. "Information shares in the US Treasury market," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1221-1233, July.
    25. Olesya Grishchenko & Franck Moraux & Olga Pakulyak, 2020. "Fuel up with OATmeals! The case of the French nominal yield curve," Post-Print halshs-02980563, HAL.
    26. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
    27. Grothe, Magdalena, 2010. "Price and trading response to public information," Working Paper Series 1177, European Central Bank.
    28. Lucas Marc Fuhrer, 2017. "Liquidity in the Repo Market," Working Papers 2017-06, Swiss National Bank.
    29. Marta Gómez-Puig, 2007. "EU-15 sovereign governments' cost of borrowing after seven years of Monetary Union," Working Papers 07-03, Asociación Española de Economía y Finanzas Internacionales.
    30. Martin D. D. Evans & Richard K. Lyons, 2017. "How is Macro News Transmitted to Exchange Rates?," World Scientific Book Chapters, in: Studies in Foreign Exchange Economics, chapter 14, pages 547-596, World Scientific Publishing Co. Pte. Ltd..
    31. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
    32. Arampatzi, Alexia-Styliani & Christie, Rebecca & Evrard, Johanne & Parisi, Laura & Rouveyrol, Clément & van Overbeek, Fons, 2025. "Capital markets union: a deep dive - Five measures to foster a single market for capital," Occasional Paper Series 369, European Central Bank.
    33. James Vickery & Joshua Wright, 2013. "TBA trading and liquidity in the agency MBS market," Economic Policy Review, Federal Reserve Bank of New York, vol. 19(May), pages 1-18.
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    175. Csaba Csávás & Szilárd Erhart, 2005. "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers 2005/44, Magyar Nemzeti Bank (Central Bank of Hungary).
    176. Jieun Lee, 2018. "Who Improves or Worsens Liquidity in the Korean Treasury Bond Market?," Working Papers 2018-3, Economic Research Institute, Bank of Korea.
    177. Ejsing, Jacob & Grothe, Magdalena & Grothe, Oliver, 2015. "Liquidity and credit premia in the yields of highly-rated sovereign bonds," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 160-173.
    178. 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, Department of Economics.
    179. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
    180. Johnson, Timothy C., 2008. "Volume, liquidity, and liquidity risk," Journal of Financial Economics, Elsevier, vol. 87(2), pages 388-417, February.
    181. Benson, Karen & Faff, Robert & Smith, Tom, 2015. "Injecting liquidity into liquidity research," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 533-540.
    182. Marta Gómez†Puig, 2009. "Systemic and Idiosyncratic Risk in EU†15 Sovereign Yield Spreads after Seven Years of Monetary Union," European Financial Management, European Financial Management Association, vol. 15(5), pages 971-1000, November.
    183. Mariya Gubareva, 2021. "Covid-19 and high-yield emerging market bonds: insights for liquidity risk management," Risk Management, Palgrave Macmillan, vol. 23(3), pages 193-212, September.
    184. Diaz, Antonio & Merrick, John Jr. & Navarro, Eliseo, 2006. "Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1309-1332, April.
    185. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(6), pages 1265-1289, December.

  53. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.

    Cited by:

    1. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2015. "Volatility transmission in global financial markets," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 3-18.
    2. Linda S. Goldberg & Deborah Leonard, 2003. "What moves sovereign bond markets? The effects of economic news on U.S. and German yields," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 9(Sep).
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    4. Masuhr Andreas & Trede Mark, 2023. "Mutual volatility transmission between assets and trading places," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-15.
    5. Hussain, Syed Mujahid, 2011. "Intraday trading volume and international spillover effects," Research in International Business and Finance, Elsevier, vol. 25(2), pages 183-194, June.
    6. Robert F. Engle & Giampiero M. Gallo & Margherita Velucchi, 2012. "Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 222-223, February.
    7. Svetlana Mira & Nicholas Taylor, 2013. "An International Perspective on Risk Management Quality," European Financial Management, European Financial Management Association, vol. 19(5), pages 935-955, November.
    8. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    9. Nicholas Taylor, 2008. "The predictive value of temporally disaggregated volatility: evidence from index futures markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(8), pages 721-742.
    10. Xu, Yongdeng & Taylor, Nick & Lu, Wenna, 2018. "Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach," Cardiff Economics Working Papers E2018/6, Cardiff University, Cardiff Business School, Economics Section.
    11. Zhang, Hanyu & Dufour, Alfonso, 2019. "Modeling intraday volatility of European bond markets: A data filtering application," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 131-146.
    12. Taylor, Nicholas, 2007. "A note on the importance of overnight information in risk management models," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 161-180, January.
    13. Clements, A.E. & Hurn, A.S. & Volkov, V.V., 2016. "Common trends in global volatility," Journal of International Money and Finance, Elsevier, vol. 67(C), pages 194-214.

  54. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.

    Cited by:

    1. Kim, Suk-Joong & Sheen, Jeffrey, 1998. "International Linkages and Macroeconomic News Effects on Interest Rate Volatility - Australia and the US'," Working Papers 11, University of Sydney, School of Economics.
    2. Ehrmann, Michael & Fratzscher, Marcel, 2003. "Equal size, equal role? Interest rate interdependence between the Euro area and the United States," CFS Working Paper Series 2003/46, Center for Financial Studies (CFS).
    3. Brand, Claus & Turunen, Jarkko & Buncic, Daniel, 2006. "The impact of ECB monetary policy decisions and communication on the yield curve," Working Paper Series 657, European Central Bank.
    4. Ramon Moreno, 2008. "Monetary policy transmission and the long-term interest rate in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 61-79, Bank for International Settlements.
    5. Hans Dewachter, 2004. "Macro factors and the term structure of interest rates," Money Macro and Finance (MMF) Research Group Conference 2003 25, Money Macro and Finance Research Group.
    6. Michael Ehrmann & Marcel Fratzscher, 2007. "Transparency, Disclosure, and the Federal Reserve," International Journal of Central Banking, International Journal of Central Banking, vol. 3(1), pages 179-225, March.
    7. Marcello Pericoli & Giovanni Veronese, 2015. "Forecaster heterogeneity, surprises and financial markets," Temi di discussione (Economic working papers) 1020, Bank of Italy, Economic Research and International Relations Area.
    8. Strauch, Rolf & Afonso, António, 2004. "Fiscal policy events and interest rate swap spreads: evidence from the EU," Working Paper Series 303, European Central Bank.
    9. Oliver Burrows & Anne Vila Wetherilt, 2004. "Have markets reacted differently to macroeconomic and monetary policy news since 1997? An empirical analysis of UK intraday trades and prices," Money Macro and Finance (MMF) Research Group Conference 2004 75, Money Macro and Finance Research Group.
    10. Ana Lasaosa, 2007. "Learning the Rules of the New Game? Comparing the Reactions in Financial Markets to Announcements before and after the Bank of England's Operational Independence," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 10(1), pages 18-41, Summer.
    11. Michael Ehrmann & Jonathan Talmi, 2016. "Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility," Staff Working Papers 16-37, Bank of Canada.
    12. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
    13. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue mar.
    14. Michael D. Bauer, 2011. "Restrictions on Risk Prices in Dynamic Term Structure Models," Working Paper Series 2011-03, Federal Reserve Bank of San Francisco.
    15. Nikolaus Hautsch & Dieter Hess & David Veredas, 2011. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," ULB Institutional Repository 2013/136190, ULB -- Universite Libre de Bruxelles.
    16. Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007.
    17. Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462.
    18. Alessandro Beber & Michael W. Brandt, 2009. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," Review of Finance, European Finance Association, vol. 13(1), pages 1-45.
    19. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
    20. Vladimír Pikora, 2007. "Vliv zveřejněných informací na výnosovou křivku [The impact of fresh releases on the yield curve]," Politická ekonomie, Prague University of Economics and Business, vol. 2007(6), pages 809-828.
    21. Mr. Norbert Funke & Mr. Akimi Matsuda, 2002. "Macroeconomic News and Stock Returns in the United States and Germany," IMF Working Papers 2002/239, International Monetary Fund.
    22. Hautsch, Nikolaus & Hess, Dieter E. & Müller, Christoph, 2008. "Price adjustment to news with uncertain precision," SFB 649 Discussion Papers 2008-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    23. Michael Ehrmann & Marcel Fratzscher, 2003. "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
    24. Marie Briere & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe :disentangling the US influence," Working Papers CEB 07-038.RS, ULB -- Universite Libre de Bruxelles.
    25. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.
    26. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
    27. Meredith J. Beechey & Benjamin K. Johannsen & Andrew T. Levin, 2011. "Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area Than in the United States?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 104-129, April.
    28. Prempeh, Kwadwo Boateng, 2016. "Macroeconomic Variables and Stock Price Volatility in Ghana," MPRA Paper 70545, University Library of Munich, Germany.
    29. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    30. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    31. Özbekler, Ali Gencay & Kontonikas, Alexandros & Triantafyllou, Athanasios, 2020. "Volatility Forecasting in European Government Bond Markets," Essex Finance Centre Working Papers 27362, University of Essex, Essex Business School.
    32. Malin Andersson & Hans Dillén & Peter Sellin, 2002. "Monetary policy signalling and movements in the Swedish term structure of interest rates," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 268-297, Bank for International Settlements.
    33. Richard Podpiera, 2000. "Efficiency of Financial Markets in Transition: The Case of Macroeconomic Releases," CERGE-EI Working Papers wp156, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    34. Barros Luís, Jorge & Cassola, Nuno, 2001. "A two-factor model of the German term structure of interest rates," Working Paper Series 46, European Central Bank.
    35. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Equal size, equal role? Interdependence between the euro area and the United States," Working Paper Series 342, European Central Bank.
    36. Henri Pagès, 1999. "Interbank interest rates and the risk premium," BIS Working Papers 81, Bank for International Settlements.
    37. Elena Corallo, 2006. "The effect of monetary policy on asset prices: evidence from Germany and UK," LIUC Papers in Economics 185, Cattaneo University (LIUC).
    38. Fratzscher, Marcel, 2002. "The Euro bloc, the Dollar bloc and the Yen bloc: how much monetary policy independence can exchange rate flexibility buy in an interdependent world?," Working Paper Series 154, European Central Bank.
    39. Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.

  55. William F. Bassett & Michael J. Fleming & Anthony P. Rodrigues, 1998. "How workers use 401(k) plans: the participation, contribution, and withdrawal decisions," Staff Reports 38, Federal Reserve Bank of New York.

    Cited by:

    1. Cardella, Eric & Kalenkoski, Charlene M. & Parent, Michael, 2018. "Less Is Not More: Information Presentation Complexity and 401(k) Planning Choices," IZA Discussion Papers 11538, Institute of Labor Economics (IZA).
    2. Justin Falk & Nadia Karamcheva, 2019. "The Effect of the Employer Match and Defaults on Federal Workers’ Savings Behavior in the Thrift Savings Plan: Working Paper 2019-06," Working Papers 55447, Congressional Budget Office.
    3. Michael Sherraden & Mark Schreiner & Sondra Beverly, 2003. "Income, Institutions, and Saving Performance in Individual Development Accounts," Economic Development Quarterly, , vol. 17(1), pages 95-112, February.
    4. Karamcheva, Nadia S. & Sanzenbacher, Geoffrey, 2014. "Bridging the gap in pension participation: how much can universal tax-deferred pension coverage hope to achieve?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 13(4), pages 439-459, October.
    5. Engelhardt, Gary V. & Kumar, Anil, 2007. "Employer matching and 401(k) saving: Evidence from the health and retirement study," Journal of Public Economics, Elsevier, vol. 91(10), pages 1920-1943, November.
    6. Brigitte C. Madrian & Dennis F. Shea, 2001. "The Power of Suggestion: Inertia in 401(k) Participation and Savings Behavior," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(4), pages 1149-1187.
    7. Eric M. Engen & William G. Gale & John Karl Scholz, 1996. "The Effects of Tax-Based Saving Incentives On Saving and Wealth," NBER Working Papers 5759, National Bureau of Economic Research, Inc.
    8. Michelle Reyers & Daniël Gerhardus Gouws, 2014. "The rationality of retirement preservation decisions: A conceptual model," Journal of Economics and Behavioral Studies, AMH International, vol. 6(5), pages 418-431.
    9. M. Kabir Hassan & Dr. Shari Lawrence, 2007. "Financial Preparation for Retirement: Factors Affecting Retirement Preparation through Employer Sponsored Retirement Plans," NFI Working Papers 2007-WP-09, Indiana State University, Scott College of Business, Networks Financial Institute.
    10. Thomas Korankye & Blain Pearson & Yi Liu, 2024. "Examining U.S. Millennial Retirement Plan Participation Decisions: The Roles of Employer Contributions and Automatic Enrollment," JRFM, MDPI, vol. 17(2), pages 1-12, January.
    11. Robert L. Clark & Melinda Sandler Morrill & David Vanderweide, 2012. "Defined Benefit Pension Plan Distribution Decisions by Public Sector Employees," NBER Chapters, in: Retirement Benefits for State and Local Employees: Designing Pension Plans for the Twenty-First Century, National Bureau of Economic Research, Inc.
    12. James J. Choi & David Laibson & Brigitte C. Madrian, 2004. "Plan Design and 401(k) Savings Outcomes," NBER Working Papers 10486, National Bureau of Economic Research, Inc.
    13. Timothy (Jun) Lu & Olivia S. Mitchell & Stephen P. Utkus & Jean A. Young, 2015. "Borrowing from the Future: 401(k) Plan Loans and Loan Defaults," NBER Working Papers 21102, National Bureau of Economic Research, Inc.
    14. Robert L. Clark & Jennifer A. Maki & Melinda Sandler Morrill, 2013. "Can Simple Informational Nudges Increase Employee Participation in a 401(k) Plan?," NBER Working Papers 19591, National Bureau of Economic Research, Inc.
    15. Renuka Sane & Susan Thomas, 2013. "In Search of Inclusion: Informal Sector Participation in a Voluntary, Defined Contribution Pension System," Working Papers id:5553, eSocialSciences.
    16. Hassan, M. Kabir & Lawrence, Shari, 2001. "The decision to defer: factors affecting employee deferral incentives," Financial Services Review, Elsevier, vol. 10(1-4), pages 45-54.
    17. Engström, Stefan & Westerberg, Anna, 2003. "Which individuals make active investment decisions in the new Swedish pension system?," SSE/EFI Working Paper Series in Economics and Finance 527, Stockholm School of Economics, revised 12 Aug 2003.
    18. Gary V. Engelhardt, 2000. "Have 401(k)s Raised Household Saving? Evidence from the Health and Retirement Study," Social and Economic Dimensions of an Aging Population Research Papers 33, McMaster University.
    19. Erika Pastoráková & Zuzana Brokešová & Jana Péliová, 2017. "Proaktívny prístup k tvorbe súkromných dôchodkových úspor: kľúčové determinanty [Proactive Approach to Private Pension Savings: Key Determinants]," Politická ekonomie, Prague University of Economics and Business, vol. 2017(6), pages 709-727.
    20. Love, David A., 2017. "Countercyclical retirement accounts," European Economic Review, Elsevier, vol. 98(C), pages 32-48.
    21. John Beshears & James J. Choi & David Laibson & Brigitte C. Madrian, 2007. "The Impact of Employer Matching on Savings Plan Participation under Automatic Enrollment," NBER Working Papers 13352, National Bureau of Economic Research, Inc.
    22. James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick, 2002. "Defined Contribution Pensions: Plan Rules, Participant Decisions, and the Path of Least Resistance," JCPR Working Papers 257, Northwestern University/University of Chicago Joint Center for Poverty Research.
    23. Piotrowska, Maria, 2019. "The importance of personality characteristics and behavioral constraints for retirement saving," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 194-220.
    24. Zhou, Jie, 2009. "The effects of employer matching and income risk in 401(k) plans," Economic Modelling, Elsevier, vol. 26(6), pages 1193-1200, November.
    25. Suh, Ellie, 2022. "Can't save or won't save: financial resilience and discretionary retirement saving among British adults in their thirties and forties," LSE Research Online Documents on Economics 110492, London School of Economics and Political Science, LSE Library.
    26. Bertranou, Fabio M., 2001. "Pension Reform and Gender Gaps in Latin America: What are the Policy Options?," World Development, Elsevier, vol. 29(5), pages 911-923, May.
    27. Love, David, 2006. "Buffer stock saving in retirement accounts," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1473-1492, October.
    28. Brigitte C. Madrian, 2012. "Matching Contributions and Savings Outcomes: A Behavioral Economics Perspective," NBER Working Papers 18220, National Bureau of Economic Research, Inc.
    29. Srinivas, P.S. & Whitehouse, Edward & Yermo, Juan, 2000. "Regulating private pension funds'structure, performance, and investments : cross-country evidence," Social Protection Discussion Papers and Notes 23302, The World Bank.
    30. Heim, Bradley T. & Lurie, Ithai Z., 2012. "The Effect of Recent Tax Changes on Tax-Preferred Saving Behavior," National Tax Journal, National Tax Association;National Tax Journal, vol. 65(2), pages 283-311, June.
    31. Mark Schreiner, 2001. "Match Rates and Savings: Evidence from Individual Development Accounts," Microeconomics 0108003, University Library of Munich, Germany, revised 27 Dec 2001.
    32. Halit Yanıkkaya & Zeynep Aktaş Koral & Sadettin Haluk Çitçi, 2023. "The Power of Financial Incentives versus the Power of Suggestion for Individual Pension: Are Financial Incentives or Automatic Enrollment Policies More Effective?," Sustainability, MDPI, vol. 15(4), pages 1-18, February.
    33. Ramnath, Shanthi, 2013. "Taxpayers' responses to tax-based incentives for retirement savings: Evidence from the Saver's Credit notch," Journal of Public Economics, Elsevier, vol. 101(C), pages 77-93.
    34. Irena Dushi & Marjorie Honig, 2007. "This research examines the determinants of eligibility and participation in 401(k) plans using two cross-sections of data from the Health and Retirement Study. Our sample consists of workers ages 51-5," Working Papers wp160, University of Michigan, Michigan Retirement Research Center.
    35. Scott Weisbenner, 1999. "Do pension plans with participant investment choice teach households to hold more equity?," Finance and Economics Discussion Series 1999-61, Board of Governors of the Federal Reserve System (U.S.).
    36. Benjamin, Daniel J., 2003. "Does 401(k) eligibility increase saving?: Evidence from propensity score subclassification," Journal of Public Economics, Elsevier, vol. 87(5-6), pages 1259-1290, May.
    37. James M. Poterba & Steven F. Venti, 2001. "Preretirement Cashouts and Foregone Retirement Saving: Implications for 401(k) Asset Accumulation," NBER Chapters, in: Themes in the Economics of Aging, pages 23-58, National Bureau of Economic Research, Inc.
    38. Greninger, Sue Alexander & Hampton, Vickie L. & Kitt, Karrol A. & Jacquet, Susan, 2000. "Retirement planning guidelines: a Delphi study of financial planners and educators," Financial Services Review, Elsevier, vol. 9(3), pages 231-245, 00.
    39. Eric M. Engen & William G. Gale & John Karl Scholz, 1996. "The Illusory Effects of Saving Incentives on Saving," Journal of Economic Perspectives, American Economic Association, vol. 10(4), pages 113-138, Fall.
    40. Erik D. Craft, 2002. "The Demand For Vanity (Plates): Elasticities, Net Revenue Maximization, And Deadweight Loss," Contemporary Economic Policy, Western Economic Association International, vol. 20(2), pages 133-144, April.
    41. Sumit Agarwal & Jessica Pan & Wenlan Qian, 2020. "Age of Decision: Pension Savings Withdrawal and Consumption and Debt Response," Management Science, INFORMS, vol. 66(1), pages 43-69, January.
    42. Engelhardt, Gary V., 2003. "Reasons for job change and the disposition of pre-retirement lump-sum pension distributions," Economics Letters, Elsevier, vol. 81(3), pages 333-339, December.
    43. James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick, 2002. "Defined Contribution Pensions: Plan Rules, Participant Choices, and the Path of Least Resistance," NBER Chapters, in: Tax Policy and the Economy, Volume 16, pages 67-114, National Bureau of Economic Research, Inc.
    44. Margaret Clancy & Jami Curley & Michal Grinstein-Weiss & Lissa Johnson & Mark Schreiner & Michael Sherraden & Min Zhan, 2001. "Asset accumulation in low-resource households: evidence from individual development accounts," Proceedings 799, Federal Reserve Bank of Chicago.
    45. Abhinav Shanbhag, 2022. "Exploring Causes, Effects, and Solutions to Financial Illiteracy and Exclusion among Minority Demographic Groups," Papers 2210.11403, arXiv.org.
    46. Floor Goedkoop & Madi Mangan & Mauro Mastrogiacomo & Stefan Hochguertel, 2023. "Trust in the financial performance of pension funds, public perception, and its effect on participation in voluntary pension saving plans," Working Papers 783, DNB.
    47. Beshears, John & Kosowsky, Harry, 2020. "Nudging: Progress to date and future directions," Organizational Behavior and Human Decision Processes, Elsevier, vol. 161(S), pages 3-19.
    48. Yanwen Wang & Muxin Zhai & John G. Lynch, 2023. "Cashing Out Retirement Savings at Job Separation," Marketing Science, INFORMS, vol. 42(4), pages 679-703, July.
    49. William F. Bassett, 2007. "Medicaid's Nursing Home Coverage and Asset Transfers," Public Finance Review, , vol. 35(3), pages 414-439, May.
    50. Ahrens, Carolin & Oehmichen, Jana & Wolff, Michael, 2018. "Expatriates as influencers in global work arrangements: Their impact on foreign-subsidiary employees’ ESOP participation," Journal of World Business, Elsevier, vol. 53(4), pages 452-462.
    51. H. Kent Baker & Sweta Tomar & Satish Kumar & Deepak Verma, 2021. "Are Indian professional women financially literate and prepared for retirement?," Journal of Consumer Affairs, Wiley Blackwell, vol. 55(4), pages 1416-1441, December.
    52. James J. Choi & David Laibson & Brigitte C. Madrian & Andrew Metrick, 2004. "Saving or Retirement on the Path of Least Resistance," Levine's Bibliography 122247000000000606, UCLA Department of Economics.
    53. Alicia H. Munnell & Laura Quinby, 2010. "Why Did Some Employers Suspend Their 401(k) Match?," Issues in Brief ib2009-10-2, Center for Retirement Research, revised Feb 2010.
    54. Alicia H. Munnell & Richard W. Kopcke & Francesca Golub-Sass & Dan Muldoon, 2009. "An Update on 401(k) Plans: Insights from the 2007 Survey of Consumer Finance," Working Papers, Center for Retirement Research at Boston College wp2009-26, Center for Retirement Research, revised Nov 2009.
    55. Jeanne M. Hogarth & Chris E. Anguelov & Jinkook Lee, 2003. "Why Households Don’t Have Checking Accounts," Economic Development Quarterly, , vol. 17(1), pages 75-94, February.
    56. Reyers, Michelle & van Schalkwyk, Cornelis Hendrik & Gouws, Daniël Gerhardus, 2015. "Rational and behavioural predictors of pre-retirement cash-outs," Journal of Economic Psychology, Elsevier, vol. 47(C), pages 23-33.

  56. Michael J. Fleming & Eli M. Remolona, 1997. "Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements," Staff Reports 27, Federal Reserve Bank of New York.

    Cited by:

    1. TUYSUZ, Sukriye, 2007. "Central Bank transparency and the U.S. interest rates level and volatility response to U.S. news," MPRA Paper 5217, University Library of Munich, Germany.
    2. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    3. Antonio Scalia & Valerio Vacca, 1999. "Does Market Transparency Matter? a Case Study," Temi di discussione (Economic working papers) 359, Bank of Italy, Economic Research and International Relations Area.
    4. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
    5. Hasbrouck, Joel & Levich, Richard M., 2021. "Network structure and pricing in the FX market," Journal of Financial Economics, Elsevier, vol. 141(2), pages 705-729.
    6. Toni Gravelle, 1999. "Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market," Staff Working Papers 99-11, Bank of Canada.
    7. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
    8. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
    9. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
    10. Tuysuz, Sukriye, 2007. "The effects of a greater central bank credibility on interest rates level and volatility response to news in the U.K," MPRA Paper 5263, University Library of Munich, Germany.

  57. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Research Paper 9706, Federal Reserve Bank of New York.

    Cited by:

    1. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "The Micro Dynamics of Macro Announcements," CESifo Working Paper Series 4421, CESifo.
    2. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
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    140. John D. Burger, 2004. "The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market," Contemporary Economic Policy, Western Economic Association International, vol. 22(4), pages 544-554, October.
    141. Fabio Fornari, 2004. "Macroeconomic announcements and implied volatilities in swaption markets," BIS Quarterly Review, Bank for International Settlements, September.
    142. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Finance and Economics Discussion Series 2003-50, Board of Governors of the Federal Reserve System (U.S.).
    143. Farka, Mira & DaSilva, Amadeu, 2011. "The fed and the term structure: Addressing simultaneity within a structural VAR model," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 935-952.
    144. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2017. "Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme," Journal of International Money and Finance, Elsevier, vol. 75(C), pages 14-31.
    145. Kevin L. Kliesen & Frank A. Schmid, 2006. "Macroeconomic news and real interest rates," Review, Federal Reserve Bank of St. Louis, vol. 88(Mar), pages 133-144.
    146. Dungey, Mardi & Henry, Olan & McKenzie, Michael, 2010. "From Trade-to-Trade in US Treasuries," Working Papers 10446, University of Tasmania, Tasmanian School of Business and Economics, revised 01 May 2010.
    147. Hess, Dieter, 2001. "Surprises in U.S. macroeconomic releases: Determinants of their relative impact on T-Bond futures," CoFE Discussion Papers 01/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    148. Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
    149. Ellis Connolly & Marion Kohler, 2004. "News and Interest Rate Expectations: A Study of Six Central Banks," RBA Research Discussion Papers rdp2004-10, Reserve Bank of Australia.
    150. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
    151. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    152. Smales, Lee A., 2016. "News sentiment and bank credit risk," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 37-61.
    153. Martin Evans and Richard Lyons, 2007. "How Is Macro News Transmitted to Exchange Rates?," Working Papers gueconwpa~07-07-10, Georgetown University, Department of Economics.
    154. Shariq Ahmad Bhat & Qaiser Farooq Dar, 2019. "Behavior of volatility persistence in 10-year sovereign bond yields of India and China: evidence from component-GARCH model of Engle and Lee (1999)," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 233-237, September.
    155. Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2015. "Novel and topical business news and their impact on stock market activities," Papers 1507.06477, arXiv.org.
    156. Lee A. Smales, 2013. "Impact Of Macroeconomic Announcements On Interest Rate Futures: High-Frequency Evidence From Australia," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(3), pages 371-388, September.
    157. Fricke, Christoph & Menkhoff, Lukas, 2010. "Does the "Bund" dominate price discovery in Euro bond futures? Examining information shares," Hannover Economic Papers (HEP) dp-449, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    158. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.
    159. Mardi Dungey & Charles Goodhart & Demosthenes Tambakis, 2008. "The US treasury market in August 1998: untangling the effects of Hong Kong and Russia with high-frequency data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 40-52.
    160. Liebermann, Joelle, 2011. "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers 7/RT/11, Central Bank of Ireland.
    161. Andersson, Magnus & Hansen, Lars Jul & Sebestyén, Szabolcs, 2006. "Which news moves the euro area bond market?," Working Paper Series 631, European Central Bank.
    162. Péter Gábriel & Klára Pintér, 2006. "The effect of the MNB’s communication on financial markets," MNB Working Papers 2006/9, Magyar Nemzeti Bank (Central Bank of Hungary).
    163. Fatih Kansoy & Dominykas Stasiulaitis, 2025. "Green Shields: The Role of ESG in Uncertain Time," Papers 2506.02143, arXiv.org.
    164. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
    165. Valseth, Siri, 2016. "Informed trading in Hybrid Bond Markets," UiS Working Papers in Economics and Finance 2016/13, University of Stavanger.
    166. Jennie Bai & Michael J. Fleming & Casidhe Horan, 2013. "The Microstructure of China's Government Bond Market," Staff Reports 622, Federal Reserve Bank of New York.
    167. Don H Kim, 2007. "Spanned stochastic volatility in bond markets: a reexamination of the relative pricing between bonds and bond options," BIS Working Papers 239, Bank for International Settlements.
    168. Jiang, George & Yan, Shu, 2009. "Linear-quadratic term structure models - Toward the understanding of jumps in interest rates," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 473-485, March.
    169. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
    170. Smales, Lee A., 2015. "Asymmetric volatility response to news sentiment in gold futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 161-172.
    171. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
    172. Aymen Belgacem & Amine Lahiani, 2012. "More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility," Economics Bulletin, AccessEcon, vol. 32(2), pages 1509-1526.
    173. Henryk Gurgul & Tomasz Wójtowicz, 2014. "The impact of US macroeconomic news on the Polish stock market," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(4), pages 795-817, December.
    174. Toni Gravelle & Richhild Moessner, 2001. "Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency," Staff Working Papers 01-5, Bank of Canada.
    175. Ramchander, Sanjay & Simpson, Marc W. & Thiewes, Harold, 2008. "The effect of macroeconomic news on German closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 708-724, November.

  58. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.

    Cited by:

    1. Dominique Dupont, 1997. "Extracting information from trading volume," Finance and Economics Discussion Series 1997-20, Board of Governors of the Federal Reserve System (U.S.).
    2. Francisco Alonso & Roberto Blanco & Ana del Río & Alicia Sanchís, 2001. "Estimating liquidity premia in the Spanish Government securities market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 79-112, Bank for International Settlements.
    3. Suk-Joong Kim & Jeffrey Sheen, 2018. "Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 7, pages 203-227, World Scientific Publishing Co. Pte. Ltd..
    4. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
    5. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    6. Dominique Dupont, 1997. "Trading volume and information distribution in a market-clearing framework," Finance and Economics Discussion Series 1997-41, Board of Governors of the Federal Reserve System (U.S.).

  59. Michael J. Fleming, 1995. "New evidence on the effectiveness of the proxy mechanism," Research Paper 9503, Federal Reserve Bank of New York.

    Cited by:

    1. Rachel Geoffroy & Heemin Lee, 2021. "The Role of Academic Research in SEC Rulemaking: Evidence from Business Roundtable v. SEC," Journal of Accounting Research, John Wiley & Sons, Ltd., vol. 59(2), pages 375-435, May.

  60. Michael J. Fleming & John J. Moon, 1995. "Preserving firm value through exit: the case of voluntary liquidations," Staff Reports 8, Federal Reserve Bank of New York.

    Cited by:

    1. Peng XU, 2021. "Population Aging and Small Business Exits," Discussion papers 21091, Research Institute of Economy, Trade and Industry (RIETI).
    2. Balcaen,S. & Buyze, J. & Ooghe,H., 2009. "Financial distress and firm exit: determinants of involuntary exits, voluntary liquidations and restructuring exits," Vlerick Leuven Gent Management School Working Paper Series 2009-21, Vlerick Leuven Gent Management School.
    3. Sofie Balcaen & Sophie Manigart & Jozefien Buyze & Hubert Ooghe, 2012. "Firm exit after distress: differentiating between bankruptcy, voluntary liquidation and M&A," Small Business Economics, Springer, vol. 39(4), pages 949-975, November.
    4. Peng XU, 2019. "Exit of Small Businesses: Differentiating between Insolvency, Voluntary Closures and M&A," Discussion papers 19051, Research Institute of Economy, Trade and Industry (RIETI).

Articles

  1. Alain P. Chaboud & Caren Cox & Michael J. Fleming & Ellen Correia Golay & Yesol Huh & Frank M. Keane & Kyle Lee & Krista B. Schwarz & Clara Vega & Carolyn Windover, 2025. "All-to-All Trading in the U.S. Treasury Market," Economic Policy Review, Federal Reserve Bank of New York, vol. 31(2), pages 1-27, February.
    See citations under working paper version above.
  2. Michael Fleming & Giang Nguyen & Francisco Ruela, 2024. "Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market," Management Science, INFORMS, vol. 70(1), pages 332-354, January.
    See citations under working paper version above.
  3. Fleming, Michael & Nguyen, Giang & Rosenberg, Joshua, 2024. "How do Treasury dealers manage their positions?," Journal of Financial Economics, Elsevier, vol. 158(C).
    See citations under working paper version above.
  4. Michael J. Fleming & Haoyang Liu & Rich Podjasek & Jake Schurmeier, 2022. "The Federal Reserve’s Market Functioning Purchases," Economic Policy Review, Federal Reserve Bank of New York, vol. 28(1), pages 210-241, July.
    See citations under working paper version above.
  5. Nguyen, Giang & Engle, Robert & Fleming, Michael & Ghysels, Eric, 2020. "Liquidity and volatility in the U.S. Treasury market," Journal of Econometrics, Elsevier, vol. 217(2), pages 207-229.
    See citations under working paper version above.
  6. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    See citations under working paper version above.
  7. Michael J Fleming & Giang Nguyen, 2019. "Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(2), pages 256-295.
    See citations under working paper version above.
  8. Fleming, Michael J. & Mizrach, Bruce & Nguyen, Giang, 2018. "The microstructure of a U.S. Treasury ECN: The BrokerTec platform," Journal of Financial Markets, Elsevier, vol. 40(C), pages 2-22.
    See citations under working paper version above.
  9. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    See citations under working paper version above.
  10. Acharya, Viral V. & Fleming, Michael J. & Hrung, Warren B. & Sarkar, Asani, 2017. "Dealer financial conditions and lender-of-last-resort facilities," Journal of Financial Economics, Elsevier, vol. 123(1), pages 81-107.
    See citations under working paper version above.
  11. Michael J. Fleming & John Sporn, 2013. "Trading activity and price transparency in the inflation swap market," Economic Policy Review, Federal Reserve Bank of New York, vol. 19(May), pages 45-57.

    Cited by:

    1. Magdalena Grothe & Aidan Meyler, 2018. "Inflation Forecasts: Are Market-Based and Survey-Based Measures Informative?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 9(1), pages 171-188, January.
    2. Anna Cole & Julian Kozlowski & Joseph Martorana, 2025. "The Dynamics of Long-Run Inflation Expectations: A Market-Based Perspective," Working Papers 2025-015, Federal Reserve Bank of St. Louis.
    3. Michael D. Bauer, 2014. "Inflation Expectations and the News," Working Paper Series 2014-9, Federal Reserve Bank of San Francisco.
    4. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Decomposing real and nominal yield curves," Staff Reports 570, Federal Reserve Bank of New York.
    5. Inaba, Kei-Ichiro, 2020. "Japan’s impactful augmentation of quantitative easing sovereign-bond purchases," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    6. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
    7. Petra Gerlach-Kristen & Richhild Moessner & Rina Rosenblatt-Wisch, 2018. "Computing Long-Term Market Inflation Expectations for Countries without Inflation Expectation Markets," Russian Journal of Money and Finance, Bank of Russia, vol. 77(3), pages 23-48, September.
    8. Arben Kita & Daniel L. Tortorice, 2021. "Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1417-1448, September.
    9. Chipeniuk, Karsten O. & Walker, Todd B., 2021. "Forward inflation expectations: Evidence from inflation caps and floors," Journal of Macroeconomics, Elsevier, vol. 70(C).
    10. Abraham Lioui & Andrea Tarelli, 2023. "Money Illusion and TIPS Demand," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(1), pages 171-214, February.
    11. Jean-François Bégin, 2016. "Deflation Risk and Implications for Life Insurers," Risks, MDPI, vol. 4(4), pages 1-36, December.
    12. Amin, Shehryar & Tédongap, Roméo, 2023. "The changing landscape of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 148(C).
    13. Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
    14. Ahn, Jungkyu & Ahn, Yongkil, 2023. "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, vol. 74(C).
    15. Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).

  12. Michael J. Fleming & Asani Sarkar, 2013. "The failure resolution of Lehman Brothers," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 175-206.
    See citations under working paper version above.
  13. Michael J. Fleming, 2012. "Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 161-177, October.
    See citations under working paper version above.
  14. Michael J. Fleming & Neel Krishnan, 2012. "The microstructure of the TIPS market," Economic Policy Review, Federal Reserve Bank of New York, vol. 18(Mar), pages 27-45.
    See citations under working paper version above.
  15. Michael J. Fleming & Nicholas Klagge, 2011. "Income effects of Federal Reserve liquidity facilities," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 17(Feb).

    Cited by:

    1. William Goulding & Daniel E. Nolle, 2012. "Foreign banks in the U.S.: a primer," International Finance Discussion Papers 1064, Board of Governors of the Federal Reserve System (U.S.).
    2. Tobias Adrian & Karin Kimbrough & Dina Tavares Marchioni, 2010. "The Federal Reserve's Commercial Paper Funding Facility," Staff Reports 423, Federal Reserve Bank of New York.
    3. Liang, J., 2020. "Designing the Main Street Lending Program: Challenges and Options," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 2(3), pages 1-40, April.

  16. Michael J. Fleming & Nicholas Klagge, 2010. "The Federal Reserve's foreign exchange swap lines," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 16(Apr).

    Cited by:

    1. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series WP-2011-04, Federal Reserve Bank of Chicago.
    2. Michael D. Bordo & Owen Humpage & Anna J. Schwartz, 2012. "Epilogue: Foreign-Exchange-Market Operations in the Twenty-First Century," NBER Working Papers 17984, National Bureau of Economic Research, Inc.
    3. Pauline Bourgeon & Jérôme Sgard, 2025. "Liquidity Swaps between Central Banks, the IMF, and the Evolution of the International Financial Architecture," Post-Print hal-04081559, HAL.
    4. Olson, Eric & Miller, Scott & Wohar, Mark E., 2012. "“Black Swans” before the “Black Swan” evidence from international LIBOR–OIS spreads," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1339-1357.
    5. Srichander Ramaswamy, 2022. "The Threat of Financial Sanctions: What Safeguards Can Central Banks Build?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(3), pages 23-41, May.
    6. Basu,Kaushik & Eichengreen,Barry J. & Gupta,Poonam - DECOS, 2014. "From tapering to tightening : the impact of the fed's exit on India," Policy Research Working Paper Series 7071, The World Bank.
    7. Torija-Zane, Edgardo, 2015. "Bancos centrales “periféricos”: el caso de América Latina," Libros de la CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), number 39989.
    8. Lingduo Jiang & Shuangshuang Liu & Guofeng Zhang, 2023. "The effect of bilateral currency swap agreements on foreign capital inflows: Evidence from China," Southern Economic Journal, John Wiley & Sons, vol. 90(2), pages 444-473, October.
    9. Marco Del Negro & Gauti B. Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2011. "The great escape? A quantitative evaluation of the Fed’s liquidity facilities," Staff Reports 520, Federal Reserve Bank of New York.
    10. Marlene Amstad & Antoine Martin, 2011. "Monetary policy implementation: common goals but different practices," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 17(Nov).
    11. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    12. Pierluigi Morelli & Giovanni Pittaluga & Elena Seghezza, 2015. "The role of the Federal Reserve as an international lender of last resort during the 2007–2008 financial crisis," International Economics and Economic Policy, Springer, vol. 12(1), pages 93-106, March.
    13. Tim Marple, 2021. "The social management of complex uncertainty: Central Bank similarity and crisis liquidity swaps at the Federal Reserve," The Review of International Organizations, Springer, vol. 16(2), pages 377-401, April.
    14. Pauline Bourgeon & Jérôme Sgard, 2025. "Liquidity Swaps between Central Banks, the IMF, and the Evolution of the International Financial Architecture," SciencePo Working papers Main hal-04081559, HAL.
    15. Richhild Moessner & William A. Allen & Gabriele Galati & William Nelson, 2017. "Central bank swap lines and CIP deviations," National Institute of Economic and Social Research (NIESR) Discussion Papers 482, National Institute of Economic and Social Research.
    16. Kazumasa Iwata & Shinji Takenaka, 2012. "Central bank balance sheet expansion: Japan's experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Are central bank balance sheets in Asia too large?, volume 66, pages 132-159, Bank for International Settlements.
    17. Kathryn M. E. Dominguez & Yuko Hashimoto & Takatoshi Ito, 2011. "International Reserves and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    18. Huberto M. Ennis & Alexander L. Wolman, 2012. "Large excess reserves in the U.S.: a view from the cross-section of banks," Working Paper 12-05, Federal Reserve Bank of Richmond.
    19. Miroslav Titze, 2016. "Federal Reserve Swap Lines - International Lender of the Last Resort [Swapové linky federálneho rezervného systému - medzinárodný veriteľ poslednej inštancie]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(4), pages 3-23.
    20. Rakesh Mohan & Muneesh Kapur, 2014. "Monetary Policy Coordination and the Role of Central Banks," IMF Working Papers 2014/070, International Monetary Fund.
    21. Richtmann, Mathis L. & Steininger, Lea, 2023. "From Bazooka to Backstop: The Political Economy of Standing Swap Facilities," Department of Economics Working Paper Series 334, WU Vienna University of Economics and Business.
    22. Pope, Robin & Selten, Reinhard, 2013. "Currency wars not public debt may create a financial meltdown," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79862, Verein für Socialpolitik / German Economic Association.
    23. Anatoli Segura, 2018. "Why Did Sponsor Banks Rescue Their SIVs? A Signaling Model of Rescues [Securitization without risk transfer]," Review of Finance, European Finance Association, vol. 22(2), pages 661-697.

  17. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo Market Effects of the Term Securities Lending Facility," American Economic Review, American Economic Association, vol. 100(2), pages 591-596, May.
    See citations under working paper version above.
  18. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2009. "The Term Securities Lending Facility: origin, design, and effects," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Feb).

    Cited by:

    1. Scott Brave & Hesna Genay, 2011. "Federal Reserve policies and financial market conditions during the crisis," Working Paper Series WP-2011-04, Federal Reserve Bank of Chicago.
    2. Robert N McCauley & Jean-François Rigaudy, 2011. "Managing foreign exchange reserves in the crisis and after," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 19-47, Bank for International Settlements.
    3. Sébastien P. Kraenzlin & Benedikt von Scarpatetti, 2011. "Bargaining Power in the Repo Market," Working Papers 2011-14, Swiss National Bank.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Mark A. Carlson & Marco Macchiavelli, 2018. "Emergency Collateral Upgrades," Finance and Economics Discussion Series 2018-078, Board of Governors of the Federal Reserve System (U.S.).
    6. Donald P. Morgan & Stavros Peristiani & Vanessa Savino, 2014. "The Information Value of the Stress Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1479-1500, October.
    7. Viral V. Acharya & Michael J. Fleming & Warren B. Hrung & Asani Sarkar, 2014. "Dealer financial conditions and lender-of-last resort facilities," Staff Reports 673, Federal Reserve Bank of New York.
    8. Tobias Adrian & Adam Ashcraft & Hayley Boeski & Zoltan Pozsar, 2012. "Shadow banking," Revue d'Économie Financière, Programme National Persée, vol. 105(1), pages 157-184.
    9. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2010. "Repo Market Effects of the Term Securities Lending Facility," American Economic Review, American Economic Association, vol. 100(2), pages 591-596, May.
    10. Arvind Krishnamurthy & Stefan Nagel & Dmitry Orlov, 2012. "Sizing Up Repo," NBER Working Papers 17768, National Bureau of Economic Research, Inc.
    11. Carlson, Mark & Macchiavelli, Marco, 2020. "Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis," Journal of Financial Economics, Elsevier, vol. 137(3), pages 701-722.
    12. Brian Begalle & Antoine Martin & James J. McAndrews & Susan McLaughlin, 2013. "The risk of fire sales in the tri-party repo market," Staff Reports 616, Federal Reserve Bank of New York.
    13. Tanju Yorulmazer, 2014. "Case studies on disruptions during the crisis," Economic Policy Review, Federal Reserve Bank of New York, issue Feb, pages 17-28.
    14. Linus Wilson & Yan Wu & Stephanie Prejean, 2014. "Are the Bailouts of Wall Street Complements or Substitutes?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 42(1), pages 21-38, March.
    15. Laurent Le Maux & Laurence Scialom, 2013. "Central banks and financial stability: rediscovering the lender-of-last-resort practices in a finance economy," Post-Print hal-01385834, HAL.
    16. Friedman, Benjamin M. & Kuttner, Kenneth N., 2010. "Implementation of Monetary Policy: How Do Central Banks Set Interest Rates?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 24, pages 1345-1438, Elsevier.
    17. Marco Del Negro & Gauti B. Eggertsson & Andrea Ferrero & Nobuhiro Kiyotaki, 2011. "The great escape? A quantitative evaluation of the Fed’s liquidity facilities," Staff Reports 520, Federal Reserve Bank of New York.
    18. Florian Heider & Marie Hoerova, 2009. "Interbank Lending, Credit-Risk Premia, and Collateral," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 5-43, December.
    19. Ricardo Lagos & Guillaume Rocheteau & Pierre-Olivier Weill, 2009. "Crises and Liquidity in Over-the-Counter Markets," NBER Working Papers 15414, National Bureau of Economic Research, Inc.
    20. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    21. Helwege, Jean & Boyson, Nicole M. & Jindra, Jan, 2017. "Thawing frozen capital markets and backdoor bailouts: Evidence from the Fed's liquidity programs," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 92-119.
    22. Cécile Bastidon & Philippe Gilles & Nicolas Huchet, 2012. "Chocs de Spread, liquidité du marché interbancaire et politique monétaire," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 55(4), pages 409-426.
    23. Tobias Adrian & Karin Kimbrough & Dina Tavares Marchioni, 2010. "The Federal Reserve's Commercial Paper Funding Facility," Staff Reports 423, Federal Reserve Bank of New York.
    24. Koulischer, François & Struyven, Daan, 2014. "Central bank liquidity provision and collateral quality," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 113-130.
    25. Helwege, Jean & Boyson, Nicole M. & Jindra, Jan, 2017. "Reprint of: Thawing frozen capital markets and backdoor bailouts: Evidence from the Fed's liquidity programs," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 193-220.
    26. Adil MSADY & Mohsine AIT CHEIKH & Adam CHATI & Zakaria EZ-ZARZARI, 2022. "The Relation Between Innovative Policy Instruments And Smes Resilience: Conceptual Analysis," Eastern European Journal for Regional Studies (EEJRS), Center for Studies in European Integration (CSEI), Academy of Economic Studies of Moldova (ASEM), vol. 8(2), pages 50-67, December.
    27. Olivier Armantier & John Sporn, 2013. "Auctions implemented by the Federal Reserve Bank of New York during the Great Recession," Staff Reports 635, Federal Reserve Bank of New York.
    28. Gorton, Gary & Ordoñez, Guillermo, 2022. "The supply and demand for safe assets," Journal of Monetary Economics, Elsevier, vol. 125(C), pages 132-147.
    29. Mark A. Carlson & Zack Saravay & Mary Tian, 2025. "Fed Repo Operations and Dealer Intermediation," Finance and Economics Discussion Series 2025-052, Board of Governors of the Federal Reserve System (U.S.).
    30. Alan M. Rai, 2013. "The Impact of Policy Initiatives on Credit Spreads during the 2007-09 Financial Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 9(1), pages 45-104, March.
    31. Vivek Prasad, 2014. "Balanced budget stimulus with tax cuts in a liquidity constrained economy," Birkbeck Working Papers in Economics and Finance 1401, Birkbeck, Department of Economics, Mathematics & Statistics.
    32. Patricia C. Mosser, 2011. "Overview," Economic Policy Review, Federal Reserve Bank of New York, vol. 17(May), pages 1-2.

  19. Michael J. Fleming, 2007. "Who buys Treasury securities at auction?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 13(Jan).

    Cited by:

    1. Brenner, Menachem & Galai, Dan & Sade, Orly, 2009. "Sovereign debt auctions: Uniform or discriminatory?," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 267-274, March.
    2. Bahamin, Payam & Cebula, Richard & Foley, Maggie & Houmes, Robert, 2011. "The Demand for Treasury Securities at Auction," MPRA Paper 52026, University Library of Munich, Germany.
    3. Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.
    4. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
    5. Jinfan Zhang & Hongjun Yan & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," 2011 Meeting Papers 1446, Society for Economic Dynamics.
    6. Tchuindjo, Leonard, 2015. "Pre-auction short positions and impacts on primary dealers’ bidding behavior in US Treasury auctions," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 193-201.
    7. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    8. Yuriy Gorodnichenko & Walker Ray, 2017. "The Effects of Quantitative Easing: Taking a Cue from Treasury Auctions," NBER Working Papers 24122, National Bureau of Economic Research, Inc.
    9. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.
    10. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    11. Sigaux, Jean-David, 2024. "Trading ahead of treasury auctions," Journal of Banking & Finance, Elsevier, vol. 158(C).
    12. Lee A. Smales, 2021. "The effect of treasury auctions on 10‐year Treasury note futures," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1517-1555, April.
    13. Ali Hortaçsu & Jakub Kastl & Allen Zhang, 2018. "Bid Shading and Bidder Surplus in the US Treasury Auction System," American Economic Review, American Economic Association, vol. 108(1), pages 147-169, January.
    14. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.

  20. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Viktoria Baklanova & Adam Copeland & Rebecca McCaughrin, 2015. "Reference guide to U.S. repo and securities lending markets," Staff Reports 740, Federal Reserve Bank of New York.
    3. Nina Boyarchenko & David O. Lucca & Laura Veldkamp, 2016. "Taking Orders and Taking Notes: Dealer Information Sharing in Financial Markets," Working Papers 16-09, New York University, Leonard N. Stern School of Business, Department of Economics.
    4. Pedersen, Michael, 2019. "Anomalies in macroeconomic prediction errors–evidence from Chilean private forecasters," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1100-1107.
    5. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    6. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    7. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
    8. Viktoria Baklanova & Cecilia Caglio & Marco Cipriani & Adam Copeland, 2019. "The Use of Collateral in Bilateral Repurchase and Securities Lending Agreements," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 228-249, July.
    9. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2009. "The Term Securities Lending Facility: origin, design, and effects," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Feb).
    10. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.
    11. Tsujimoto, Yusuke, 2025. "Coarse pricing in QE auctions," Journal of Financial Markets, Elsevier, vol. 73(C).
    12. Laura Veldkamp & David Lucca & Nina Boyarchenko, 2017. "Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Markets," 2017 Meeting Papers 808, Society for Economic Dynamics.
    13. Sebastian Infante & Zack Saravay, 2020. "What Drives U.S. Treasury Re-use?," Finance and Economics Discussion Series 2020-103r1, Board of Governors of the Federal Reserve System (U.S.), revised 24 Aug 2021.
    14. Stephen G. Cecchetti, 2009. "Crisis and Responses: The Federal Reserve in the Early Stages of the Financial Crisis," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 51-75, Winter.
    15. Borghan Nezami Narajabad & Cyril Monnet, 2012. "Why Rent When You Can Buy? A Theory of Repurchase Agreements," 2012 Meeting Papers 647, Society for Economic Dynamics.
    16. Stefania D’Amico & N Aaron Pancost, 2022. "Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium [Pr icing the term structure with linear regressions]," Review of Finance, European Finance Association, vol. 26(1), pages 117-162.

  21. Michael J. Fleming & Kenneth D. Garbade, 2005. "Explaining settlement fails," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Sep).

    Cited by:

    1. Ilhyock Shim & Goetz von Peter, 2007. "Distress selling and asset market feedback," BIS Working Papers 229, Bank for International Settlements.
    2. Cyril Monnet & Thomas Nellen, 2014. "The Collateral Costs of Clearing," Working Papers 2014-04, Swiss National Bank.
    3. Piero Gottardi & Vincent Maurin & Cyril Monnet, 2019. "A theory of repurchase agreements, collateral re-use, and repo intermediation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 30-56, July.
    4. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    5. Shengxing Zhang, 2014. "Collateral Risk, Repo Rollover and Shadow Banking," 2014 Meeting Papers 562, Society for Economic Dynamics.
    6. Pedro Gurrola-Perez & Jieshuang He & Gary Harper, 2019. "Securities settlement fails network and buy‑in strategies," Bank of England working papers 821, Bank of England.
    7. Maurin, Vincent, 2022. "Asset scarcity and collateral rehypothecation," Journal of Financial Intermediation, Elsevier, vol. 52(C).
    8. Jean-Sébastien Fontaine & James Hately & Adrian Walton, 2017. "Repo Market Functioning when the Interest Rate Is Low or Negative," Discussion Papers 17-3, Bank of Canada.
    9. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    10. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.
    11. Fukai, Hiroki, 2021. "Optimal interventions on strategic fails in repo markets," MPRA Paper 106090, University Library of Munich, Germany.
    12. Hajime Tomura, 2012. "On the Existence and Fragility of Repo Markets," Staff Working Papers 12-17, Bank of Canada.
    13. Fujiki, Hiroshi & Green, Edward J. & Yamazaki, Akira, 2008. "Incentive efficient risk sharing in a settlement mechanism," Journal of Economic Theory, Elsevier, vol. 142(1), pages 178-195, September.
    14. Peter Hördahl & Michael R King, 2008. "Developments in repo markets during the financial turmoil," BIS Quarterly Review, Bank for International Settlements, December.
    15. Jonathan Chiu & Thorsten V. Koeppl, 2018. "Blockchain-based Settlement For Asset Trading," Working Paper 1397, Economics Department, Queen's University.
    16. Corradin, Stefano & Maddaloni, Angela, 2017. "The importance of being special: repo markets during the crisis," Working Paper Series 2065, European Central Bank.
    17. Morten L. Bech & Elizabeth C. Klee & Viktors Stebunovs, 2012. "Arbitrage, liquidity and exit: the repo and federal funds markets before, during, and emerging from the financial crisis," Finance and Economics Discussion Series 2012-21, Board of Governors of the Federal Reserve System (U.S.).
    18. Mariana Khapko & Marius Zoican, 2020. "How Fast Should Trades Settle?," Management Science, INFORMS, vol. 66(10), pages 4573-4593, October.
    19. Assa Cohen & Mahyar Kargar & Benjamin Lester & Pierre-Olivier Weill, 2024. "Inventory, Market Making, and Liquidity in OTC Markets," Working Papers 24-22, Federal Reserve Bank of Philadelphia.
    20. Jean-Sébastien Fontaine & Adrian Walton, 2020. "Contagion in Dealer Networks," Staff Working Papers 20-1, Bank of Canada.
    21. Rydqvist, Kristian & Wu, Mark, 2016. "Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions," Journal of Financial Markets, Elsevier, vol. 30(C), pages 78-102.
    22. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.

  22. Michael J. Fleming & Kenneth D. Garbade & Frank Keane, 2005. "Anomalous Bidding In Short‐Term Treasury Bill Auctions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(2), pages 165-176, June.
    See citations under working paper version above.
  23. Tobias Adrian & Michael J. Fleming, 2005. "What financing data reveal about dealer leverage," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Mar).

    Cited by:

    1. Tobias Adrian & Hyun Song Shin, 2008. "Financial intermediaries, financial stability and monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 287-334.
    2. Engel, Charles & Bianchi, Javier & Bigio, Saki, 2021. "Scrambling for Dollars: International Liquidity, Banks and Exchange Rates," CEPR Discussion Papers 16712, C.E.P.R. Discussion Papers.
    3. Fricke, Christoph & Menkhoff, Lukas, 2015. "Financial conditions, macroeconomic factors and disaggregated bond excess returns," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 80-94.
    4. Fricke, Christoph & Menkhoff, Lukas, 2014. "Financial conditions, macroeconomic factors and (un)expected bond excess returns," Discussion Papers 35/2014, Deutsche Bundesbank.
    5. Tobias Adrian & Adam B. Ashcraft, 2012. "Shadow banking regulation," Staff Reports 559, Federal Reserve Bank of New York.
    6. Boyson, Nicole & Stahel, Christof & Stulz, Rene, 2008. "Is There Hedge Fund Contagion?," Working Papers 08-2, University of Pennsylvania, Wharton School, Weiss Center.
    7. John Kambhu, 2006. "Trading risk, market liquidity, and convergence trading in the interest rate swap spread," Economic Policy Review, Federal Reserve Bank of New York, vol. 12(May), pages 1-13.
    8. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
    9. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc.
    10. Teo, Melvyn, 2011. "The liquidity risk of liquid hedge funds," Journal of Financial Economics, Elsevier, vol. 100(1), pages 24-44, April.
    11. Adrian, Tobias & Shin, Hyun Song, 2010. "Liquidity and leverage," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 418-437, July.
    12. Tobias Adrian & Daniel M. Covitz & J. Nellie Liang, 2013. "Financial stability monitoring," Finance and Economics Discussion Series 2013-21, Board of Governors of the Federal Reserve System (U.S.).
    13. Nicole M. Boyson & Christof W. Stahel & Rene M. Stulz, 2008. "Hedge Fund Contagion and Liquidity," NBER Working Papers 14068, National Bureau of Economic Research, Inc.
    14. Tobias Adrian & Adam B. Ashcraft, 2012. "shadow banking: a review of the literature," The New Palgrave Dictionary of Economics,, Palgrave Macmillan.
    15. Nicole M. Boyson & Christof W. Stahel & René M. Stulz, 2010. "Hedge Fund Contagion and Liquidity Shocks," Journal of Finance, American Finance Association, vol. 65(5), pages 1789-1816, October.
    16. Tobias Adrian & Brian Begalle & Adam Copeland & Antoine Martin, 2013. "Repo and Securities Lending," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling, pages 131-148, National Bureau of Economic Research, Inc.
    17. Tobias Adrian & Adam B. Ashcraft & Nicola Cetorelli, 2013. "Shadow bank monitoring," Staff Reports 638, Federal Reserve Bank of New York.
    18. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2009. "The Term Securities Lending Facility: origin, design, and effects," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Feb).
    19. Abhishek Kumar & Sushanta Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2023. "Market Volatility, Monetary Policy and the Term Premium," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 208-237, February.
    20. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    21. Mr. Manmohan Singh & James Aitken, 2010. "The (Sizable) Role of Rehypothecation in the Shadow Banking System," IMF Working Papers 2010/172, International Monetary Fund.
    22. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene M., 2011. "Liquidity Shocks and Hedge Fund Contagion," Working Paper Series 2011-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

  24. Michael J. Fleming & Kenneth D. Garbade, 2004. "Repurchase agreements with negative interest rates," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 10(Apr).

    Cited by:

    1. Stefania D'Amico & Roger Fan & Yuriy Kitsul, 2013. "The Scarcity Value of Treasury Collateral: Repo Market Effects of Security-Specific Supply and Demand Factors," Working Paper Series WP-2013-22, Federal Reserve Bank of Chicago.
    2. Morten Linnemann Bech & Aytek Malkhozov, 2016. "How have central banks implemented negative policy rates?," BIS Quarterly Review, Bank for International Settlements, March.
    3. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    4. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
    5. Chappell, Henry W. & McGregor, Rob Roy, 2018. "Committee decision-making at Sweden's Riksbank," European Journal of Political Economy, Elsevier, vol. 53(C), pages 120-133.
    6. Wiliiam Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2017. "Eurosystem s asset purchases and money market rates," Working papers 652, Banque de France.
    7. Sébastien Kraenzlin, 2007. "The characteristics and development of the Swiss franc repurchase agreement market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(2), pages 241-261, June.
    8. Thorsten V. Koeppl, 2011. "Time for Stability in Derivatives Markets – a New Look at Central Counterparty Clearing for Securities Markets," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 329, May.
    9. Fabienne Schneider, 2024. "On-the-run Premia, Settlement Fails, and Central Bank Access," Working Papers 24.05, Swiss National Bank, Study Center Gerzensee.
    10. W. Douglas McMillin & James S. Fackler, 2007. "Estimating the Inflation-Output Variability Frontier with Inflation Targeting: A VAR Approach," Departmental Working Papers 2007-04, Department of Economics, Louisiana State University.
    11. Michael J. Fleming & Frank M. Keane, 2021. "The Netting Efficiencies of Marketwide Central Clearing," Staff Reports 964, Federal Reserve Bank of New York.
    12. Fukai, Hiroki, 2021. "Optimal interventions on strategic fails in repo markets," MPRA Paper 106090, University Library of Munich, Germany.
    13. William Arrata & Benoit Nguyen & Imene Rahmouni-Rousseau & Miklos Vari, 2018. "The Scarcity Effect of Quantitative Easing on Repo Rates: Evidence from the Euro Area," IMF Working Papers 2018/258, International Monetary Fund.
    14. Sébastien Kraenzlin, 2009. "Interest Rate Setting on the Swiss Franc Repo Market," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(III), pages 351-377, September.
    15. Stephan Unger, 2019. "On the Bailout of Currencies," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 79-89, February.
    16. Warren B. Hrung & Jason S. Seligman, 2011. "Responses to the financial crisis, treasury debt, and the impact on short-term money markets," Staff Reports 481, Federal Reserve Bank of New York.
    17. Kenneth D. Garbade & John Kambhu, 2005. "Why is the U.S. Treasury contemplating becoming a lender of last resort for Treasury securities?," Staff Reports 223, Federal Reserve Bank of New York.
    18. Mark J. Flannery & Paul Glasserman & David K.A. Mordecai & Cliff Rossi, 2012. "Forging Best Practices in Risk Management," Working Papers 12-02, Office of Financial Research, US Department of the Treasury.
    19. Michael J. Fleming & Warren B. Hrung & Frank M. Keane, 2009. "The Term Securities Lending Facility: origin, design, and effects," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Feb).
    20. Naohiko Baba & Shinichi Nishioka & Nobuyuki Oda & Masaaki Shirakawa & Kazuo Ueda & Hiroshi Ugai, 2005. "Japan's deflation, problems in the financial system and monetary policy," BIS Working Papers 188, Bank for International Settlements.
    21. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    22. James S. Fackler & W. Douglas McMillin, 2011. "Inflation Forecast Targeting: An Alternative Approach to Estimating the Inflation‐Output Variability Tradeoff," Southern Economic Journal, John Wiley & Sons, vol. 78(2), pages 424-451, October.
    23. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.

  25. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
    See citations under working paper version above.
  26. Michael J. Fleming & Kenneth D. Garbade, 2002. "When the back office moved to the front burner: settlement fails in the treasury market after 9/11," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(Nov), pages 35-57.

    Cited by:

    1. Cyril Monnet & Thomas Nellen, 2014. "The Collateral Costs of Clearing," Working Papers 2014-04, Swiss National Bank.
    2. Koeppl, Thorsten & Monnet, Cyril & Temzelides, Ted, 2012. "Optimal clearing arrangements for financial trades," Journal of Financial Economics, Elsevier, vol. 103(1), pages 189-203.
    3. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    4. Michael J. Fleming & Kenneth D. Garbade, 2004. "Repurchase agreements with negative interest rates," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 10(Apr).
    5. Christopher J. Neely, 2004. "The Federal Reserve responds to crises: September 11th was not the first," Review, Federal Reserve Bank of St. Louis, vol. 86(Mar), pages 27-42.
    6. Lacker, Jeffrey M., 2004. "Payment system disruptions and the federal reserve following September 11, 2001," Journal of Monetary Economics, Elsevier, vol. 51(5), pages 935-965, July.
    7. Stratmann, Thomas & Welborn, John W., 2013. "The options market maker exception to SEC Regulation SHO," Journal of Financial Markets, Elsevier, vol. 16(2), pages 195-226.
    8. Silber, William L., 2005. "What happened to liquidity when world war I shut the NYSE?," Journal of Financial Economics, Elsevier, vol. 78(3), pages 685-701, December.
    9. Johan Devriese & Janet Mitchell, 2005. "Liquidity risk in securities settlement," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 117-126, June.
    10. Iori, Giulia, 2004. "An analysis of systemic risk in alternative securities settlement architectures," Working Paper Series 404, European Central Bank.
    11. Tobe, Reiko & Uno, Jun, 2024. "Central bank asset purchases and lending: Impact on search frictions," Journal of Financial Intermediation, Elsevier, vol. 58(C).
    12. Edgardo Barandiarán, 2003. "El Prestamista de Última Instancia en la Nueva Industria Bancaria," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 337-358.
    13. Fukai, Hiroki, 2021. "Optimal interventions on strategic fails in repo markets," MPRA Paper 106090, University Library of Munich, Germany.
    14. Kenneth D. Garbade & John Kambhu, 2005. "Why is the U.S. Treasury contemplating becoming a lender of last resort for Treasury securities?," Staff Reports 223, Federal Reserve Bank of New York.
    15. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.
    16. Fleming, Michael J. & Garbade, Kenneth D., 2007. "Dealer behavior in the specials market for US Treasury securities," Journal of Financial Intermediation, Elsevier, vol. 16(2), pages 204-228, April.
    17. Kenneth D. Garbade, 2004. "Origins of the Federal Reserve book-entry system," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 33-50.
    18. Michael J. Fleming & Kenneth D. Garbade & Frank M. Keane, 2004. "Anomalous bidding in short-term Treasury bill auctions," Staff Reports 184, Federal Reserve Bank of New York.
    19. Bank for International Settlements, 2015. "Central bank operating frameworks and collateral markets," CGFS Papers, Bank for International Settlements, number 53.
    20. Boni, Leslie, 2006. "Strategic delivery failures in U.S. equity markets," Journal of Financial Markets, Elsevier, vol. 9(1), pages 1-26, February.
    21. Michael J. Fleming & Kenneth D. Garbade, 2005. "Explaining settlement fails," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Sep).
    22. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    23. José Ramón Martínez-Resano, 2005. "Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds," Occasional Papers 0501, Banco de España.
    24. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.

  27. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    See citations under working paper version above.
  28. 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.

    Cited by:

    1. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
    2. 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.
    3. 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.
    4. Juan Andr�s Espinosa-Torres & Luis Fernando Melo-Veland�a & Jos� Fernando Moreno-Guti�rrez, 2015. "Expectativas de inflaci�n, prima de riesgo inflacionario y prima de liquidez: una descomposici�n del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
    5. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    6. Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & Jos� Fernando Moreno-Guti�rrez, 2017. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78.
    7. 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.
    8. 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.
    9. Bohn, Henning, 2002. "Government Asset and Liability Management in an Era of Vanishing Public Debt," University of California at Santa Barbara, Economics Working Paper Series qt1168177r, Department of Economics, UC Santa Barbara.
    10. Vansteenkiste, Isabel, 2011. "What is driving oil futures prices? Fundamentals versus speculation," Working Paper Series 1371, European Central Bank.
    11. Uri Ron, 2000. "A Practical Guide to Swap Curve Construction," Staff Working Papers 00-17, Bank of Canada.
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    271. Aditya Nittur Anantha & Shashi Jain, 2024. "Forecasting High Frequency Order Flow Imbalance," Papers 2408.03594, arXiv.org.
    272. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2007. "An empirical examination of intraday volatility in on-the-run U.S. Treasury bills," Journal of Economics and Business, Elsevier, vol. 59(6), pages 487-499.
    273. Linas Jurksas & Hector Carcel, 2019. "Euro Area Government Bond Yield and Liquidity Dependence during different Monetary Policy Accommodation Phases," Bank of Lithuania Working Paper Series 60, Bank of Lithuania.
    274. Baldauf, Markus & Mollner, Joshua, 2022. "Fast traders make a quick buck: The role of speed in liquidity provision," Journal of Financial Markets, Elsevier, vol. 58(C).
    275. Samuel Hanson & Jeremy C. Stein, 2012. "Monetary policy and long-term real rates," Finance and Economics Discussion Series 2012-46, Board of Governors of the Federal Reserve System (U.S.).
    276. Jena, Pratap Kumar, 2015. "Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach," MPRA Paper 73892, University Library of Munich, Germany.
    277. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.
    278. Hyun Song Shin, 2005. "Liquidity and Twin Crises," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(3), pages 257-277, November.
    279. Ray C Fair, 2001. "Events that shook the market," BIS Papers chapters, in: Bank for International Settlements (ed.), Market liquidity: proceedings of a workshop held at the BIS, volume 2, pages 9-29, Bank for International Settlements.
    280. Csaba Csávás & Szilárd Erhart, 2005. "Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity," MNB Occasional Papers 2005/44, Magyar Nemzeti Bank (Central Bank of Hungary).
    281. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
    282. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    283. Mahmoud Qadan & David Y. Aharon, 2019. "The length of the trading day and trading volume," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 9(2), pages 137-156, June.
    284. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
    285. Erenburg, Grigori & Lasser, Dennis, 2009. "Electronic limit order book and order submission choice around macroeconomic news," Review of Financial Economics, Elsevier, vol. 18(4), pages 172-182, October.
    286. Guan, Lim Kian & Ting, Christopher & Warachka, Mitch, 2005. "The implied jump risk of LIBOR rates," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2503-2522, October.
    287. Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
    288. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
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  30. Bassett, William F. & Fleming, Michael J. & Rodrigues, Anthony P., 1998. "How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions," National Tax Journal, National Tax Association;National Tax Journal, vol. 51(2), pages 263-289, June.
    See citations under working paper version above.
  31. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    See citations under working paper version above.
  32. Michael J. Fleming, 1997. "The round-the-clock market for U.S. Treasury securities," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Jul), pages 9-32.

    Cited by:

    1. Andrew Clare & Mark Johnson & James Proudman & Victoria Saporta, 1999. "The Impact of UK Macroeconomic Announcements on the Market for Gilts," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-16, Bank for International Settlements.
    2. Erik Vogt & Michael Fleming & Or Shachar & Tobias Adrian, 2017. "Market Liquidity After the Financial Crisis," Annual Review of Financial Economics, Annual Reviews, vol. 9(1), pages 43-83, November.
    3. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
    4. John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, Department of Economics and Business Economics, Aarhus University.
    5. Linda S. Goldberg & Deborah Leonard, 2003. "What moves sovereign bond markets? The effects of economic news on U.S. and German yields," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 9(Sep).
    6. Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
    7. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers 04-16, Bank of Canada.
    8. Michael J. Fleming & Eli M. Remolona, 1999. "The term structure of announcement effects," Staff Reports 76, Federal Reserve Bank of New York.
    9. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
    10. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
    11. Bartolini, Leonardo & Bertola, Giuseppe & Prati, Alessandro, 2002. "Day-to-Day Monetary Policy and the Volatility of the Federal Funds Interest Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 137-159, February.
    12. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 65(2), pages 603-653, April.
    13. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    14. Michael W. Brandt & Kenneth A. Kavajecz, 2003. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve," NBER Working Papers 9529, National Bureau of Economic Research, Inc.
    15. Michael J. Fleming & Eli M. Remolona, 1996. "Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements," Research Paper 9633, Federal Reserve Bank of New York.
    16. Michael J. Fleming & Jose A. Lopez, 1999. "Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market," Working Papers in Applied Economic Theory 99-09, Federal Reserve Bank of San Francisco.
    17. Hartmann, Philipp & Manna, Michele & Manzanares, Andres, 2001. "The Microstructure of the Euro Money Market," CEPR Discussion Papers 3081, C.E.P.R. Discussion Papers.
    18. Paolo Pasquariello & Clara Vega, 2007. "Informed and Strategic Order Flow in the Bond Markets," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1975-2019, November.
    19. G Alogoskoufis & R Portes & H Rey, 1998. "The Emergence of the Euro as an International Currency," CEP Discussion Papers dp0388, Centre for Economic Performance, LSE.
    20. John Kambhu, 1998. "Dealers' hedging of interest rate options in the U.S. dollar fixed-income market," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Jun), pages 35-58.
    21. 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.
    22. Michael J. Fleming & Bruce Mizrach & Giang Nguyen, 2009. "The microstructure of a U.S. Treasury ECN: the BrokerTec platform," Staff Reports 381, Federal Reserve Bank of New York.
    23. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
    24. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
    25. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
    26. John Kambhu, 1997. "Interest rate options dealers' hedging in the US dollar fixed income market," Research Paper 9719, Federal Reserve Bank of New York.
    27. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, vol. 88(Nov), pages 527-542.
    28. Michael J. Fleming & Neel Krishnan, 2009. "The microstructure of the TIPS market," Staff Reports 414, Federal Reserve Bank of New York.
    29. Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
    30. Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
    31. Michael J. Fleming & Giang Nguyen & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York.
    32. Akay, Ozgur (Ozzy) & Cyree, Ken B. & Griffiths, Mark D. & Winters, Drew B., 2012. "What does PIN identify? Evidence from the T-bill market," Journal of Financial Markets, Elsevier, vol. 15(1), pages 29-46.
    33. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
    34. Martinez, Valeria & Gupta, Paramita & Tse, Yiuman & Kittiakarasakun, Jullavut, 2011. "Electronic versus open outcry trading in agricultural commodities futures markets," Review of Financial Economics, Elsevier, vol. 20(1), pages 28-36, January.
    35. Adrian, Tobias & Capponi, Agostino & Fleming, Michael & Vogt, Erik & Zhang, Hongzhong, 2020. "Intraday market making with overnight inventory costs," Journal of Financial Markets, Elsevier, vol. 50(C).
    36. Krista Schwarz, 2019. "Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads," Review of Finance, European Finance Association, vol. 23(3), pages 557-597.
    37. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    38. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
    39. Nath, Golaka, 2012. "Estimating term structure changes using principal component analysis in Indian sovereign bond market," MPRA Paper 39229, University Library of Munich, Germany.
    40. Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003. "The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market," CEPR Discussion Papers 3900, C.E.P.R. Discussion Papers.
    41. Dungey, Mardi & McKenzie, Michael & Tambakis, Demosthenes N., 2009. "Flight-to-quality and asymmetric volatility responses in US Treasuries," Global Finance Journal, Elsevier, vol. 19(3), pages 252-267.
    42. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    43. Boni, Leslie & Leach, Chris, 2004. "Expandable limit order markets," Journal of Financial Markets, Elsevier, vol. 7(2), pages 145-185, February.
    44. Craig Burnside & Martin Eichenbaum & Sergio Rebelo, 2009. "Understanding the Forward Premium Puzzle: A Microstructure Approach," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(2), pages 127-154, July.
    45. Hughes, Michael P. & Smith, Stanley D. & Winters, Drew B., 2007. "An empirical examination of intraday volatility in on-the-run U.S. Treasury bills," Journal of Economics and Business, Elsevier, vol. 59(6), pages 487-499.
    46. Michael J. Barclay & Terrence Hendershott & Kenneth Kotz, 2006. "Automation versus Intermediation: Evidence from Treasuries Going Off the Run," Journal of Finance, American Finance Association, vol. 61(5), pages 2395-2414, October.
    47. David Goldreich & Bernd Hanke & Purnendu Nath, 2005. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market," Review of Finance, Springer, vol. 9(1), pages 1-32, March.
    48. Don H. Kim & Marcelo Ochoa, 2021. "International Yield Spillovers," Finance and Economics Discussion Series 2021-001, Board of Governors of the Federal Reserve System (U.S.).
    49. 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, Department of Economics.
    50. 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," Staff Working Papers 03-28, Bank of Canada.

Chapters

  1. Michael Fleming & Asani Sarkar, 1999. "Liquidity in U.S. Treasury Spot and Futures Markets," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-14, Bank for International Settlements.

    Cited by:

    1. Dan Bernhardt & Ryan J. Davies & John Spicer, 2006. "Long‐term information, short‐lived securities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(5), pages 466-502, May.
    2. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers 04-16, Bank of Canada.
    3. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term Information, Short-lived Derivative Securities," Working Paper 994, Economics Department, Queen's University.
    4. 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.
    5. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
    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. Lean, Hooi Hooi & Smyth, Russell, 2014. "Testing for weak-form efficiency of Crude Palm Oil Spot and Futures Markets: New Evidence from a GARCH Unit Root Test with Multiple Structural Breaks," MPRA Paper 59121, University Library of Munich, Germany.
    8. 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, Department of Economics.
    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," Staff Working Papers 03-28, Bank of Canada.

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