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Author:Mizrach, Bruce 

The microstructure of a U.S. Treasury ECN: the BrokerTec platform

We assess the microstructure of the U.S. Treasury securities market following its migration to electronic trading. We model price discovery using a vector autoregression model of price and order flow. We show that both trades and limit orders affect price dynamics, suggesting that traders also choose limit orders to exploit their information. Moreover, while limit orders have smaller price impact, their greater variation contributes more to the variance of price updates. Lastly, we find increased price impact of trades and especially limit orders following major announcements (such as FOMC ...
Staff Reports , Paper 381

Journal Article
The Stock Market's Wild Ride

Quick action by the Fed to smooth the functioning of financial markets appears to have encouraged investors and stopped the historic downturn in the stock market.
Economic Synopses , Issue 15

Journal Article
Fed Intervention in the To-Be-Announced Market for Mortgage-Backed Securities

All the announced MBS purchases are designed to provide liquidity and facilitate trading of agency MBS during a period of disruption associated with the coronavirus.
Economic Synopses , Issue 19

Journal Article
Federal Reserve System International Facilities

Fed lending to foreign central banks for them to provide emergency lending aids the U.S. economy by stabilizing international financial markets.
Economic Synopses , Issue 29

Journal Article
Supporting Small Borrowers: ABS Markets and the TALF

On March 23, the Federal Reserve established the Term Asset-Backed Securities Loan Facility (TALF) to support consumer and small business lending.
Economic Synopses , Issue 20

Target zone models with stochastic realignments: an econometric evaluation

Research Paper , Paper 9302

Working Paper
Information shares in the U.S. treasury market

This paper is the first to characterize the tatonnement of high-frequency returns from U.S. Treasury spot and futures markets. In particular, we highlight the previously neglected role of the futures markets in price discovery. The lower-bound estimate of bivariate information shares for 30-year Treasury futures typically exceeds 50% from 1998 on. Standard liquidity measures, including the proportion of trades and relative bid-ask spreads, explain daily information shares. These conclusions still hold when one controls for days of macroeconomic announcements. Finally, a 5-dimensional ...
Working Papers , Paper 2005-070

Journal Article
The transition to electronic communications networks in the secondary treasury market

This article reviews the history of the recent shift to electronic trading in equity, foreign exchange, and fixed-income markets. The authors analyze a new data set: the eSpeed electronic Treasury network. They contrast the market microstructure of the eSpeed trading platform with the traditional voice-assisted networks that report through GovPX. The electronic market (eSpeed) has greater volume, smaller spreads, and a lower estimated trade impact than the voice market (GovPX). ; Appeared earlier as Working Paper 2006-012
Review , Volume 88 , Issue Nov , Pages 527-542

Working Paper
The microstructure of the U.S. treasury market

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents, institutional detail, and asymmetric information in the trading process. The article describes types of Treasury issues; stages of the Treasury market; the major players, including the role of the Federal Reserve Bank of New York and the interdealer brokers; the structure of both the spot and futures markets; the ...
Working Papers , Paper 2007-052

Journal Article
Secondary Market Corporate Credit Facility Supports Main Street

Fed policy appears to have assisted the corporate credit market during a period of unusually high risk and fire-sale prices.
Economic Synopses , Issue 17



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