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Report
Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements
Remolona, Eli M.; Fleming, Michael J.
(1996)
We find striking intraday adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasuries market around the time of macroeconomic announcements. The patterns suggest certain hypotheses about price formation and liquidity provision in multiple-dealer markets. These hypotheses assign new importance to public information, heterogeneous views, sluggish price discovery, traditional inventory-control behavior by market makers, and liquidity traders who react with a lag to price changes.
Research Paper
, Paper 9633
Journal Article
Reserves forecasting for open market operations
Partlan, John C.; Camilli, Kathleen M.; Hamdani, Kausar
(1986-04)
Quarterly Review
, Volume 11
, Issue Spr
, Pages 19-33
Report
Estimating the impacts of U.S. LSAPs on emerging market economies’ local currency bond markets
Suh, Myeongguk; Moore, Jeffrey; Nam, Sunwoo; Tepper, Alexander
(2013)
This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields. Using panel data from a broad array of EMEs, our empirical estimates suggest that a 10-basis-point reduction in long-term U.S. Treasury yields results in a 0.4-percentage-point increase in the foreign ownership share of emerging market debt. This, in turn, is estimated to reduce government bond yields ...
Staff Reports
, Paper 595
Journal Article
Monetary policy and open market operations during 1994
Meulendyke, Ann-Marie; Hilton, R. Spence; Fisher, Peter R.
(1995-06)
Federal Reserve Bulletin
, Issue Jun
, Pages 570-584
Working Paper
Monetary policy implementation frameworks: a comparative analysis
Martin, Antoine; Monnet, Cyril
(2009)
The authors compare two stylized frameworks for the implementation of monetary policy. The first framework relies only on standing facilities, while the second framework relies only on open market operations. They show that the Friedman rule cannot be implemented when the central bank uses standing facilities, while it can be implemented with open market operations. For a given rate of inflation, the authors show that standing facilities unambiguously achieve higher welfare than just conducting open market operations. They conclude that elements of both frameworks should be combined. Also, ...
Working Papers
, Paper 09-27
Journal Article
Interest rate smoothing remains a controversial topic
anonymous
(1992-04)
Economics Update
, Issue Apr
, Pages 1-2
Report
Domestic open market operations during 1997
Tulpan, Ted; Hilton, R. Spence; Fisher, Peter R.; Cheng, Virginia
(1997)
Annual Report Domestic Open Market Operations
Conference Paper
Another hole in the ozone layer: changes in FOMC operating procedure and the term structure
Roberts, William; Runkle, David E.; Whiteman, Charles H.
(1993)
Proceedings
, Paper 1, pt. 1
Report
Intervention strategies and exchange rate volatility: a noise trading perspective
Hung, Juann H.
(1995)
This paper estimates and explains the impact of U.S. sterilized intervention on exchange rate volatility. We find that U.S. intervention reduced both yen/dollar and DM/dollar exchange rate volatilities during 1985-86, but increased them during 1987-89. These results make sense in a noise trading framework where the effectiveness of sterilized intervention may depend critically on the shrewdness of intervention strategies. Depending on circumstances, central banks may use noise trading channels through covert intervention, or activate signaling channels through overt intervention. The ...
Research Paper
, Paper 9515
Journal Article
Expectations, open market operations, and changes in the federal funds rate (commentary)
Orphanides, Athanasios
(2001-07)
Review
, Volume 83
, Issue Jul
, Pages 33-58
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