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Working Paper
Macroeconomic risk and Treasury bill pricing: an application of the FACTOR-ARCH model
Sill, Keith (1995)
Working Papers , Paper 93-25/R

Journal Article
Single-price Treasury auction experiment continues
Thompson, Stephen (1993-01)
Financial Update , Issue Jan , Pages 10

Report
The term structure of announcement effects
Remolona, Eli M.; Fleming, Michael J. (1999)
We analyze high-frequency responses of U.S. Treasury yields across the maturity spectrum to macroeconomic announcements. We find that surprises in the announcements evoke the sharpest reactions from the intermediate maturities, thus forming striking hump-shaped curves of announcement effects. We then fit an affine-yield model to the yield changes using the announcement surprises as GMM instruments. The model estimates imply that the announcements elicit larger shocks to an expected future target interest rate than to the current short-term interest rate and that different types of ...
Staff Reports , Paper 76

Journal Article
Measuring treasury market liquidity
Fleming, Michael J. (2003-09)
This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. Securities liquidity is important to those who transact in markets, those who monitor market conditions, and those who analyze market developments. This article estimates and evaluates a comprehensive set of liquidity measures for the U.S. Treasury securities market. The author finds that the commonly used bid-ask ...
Economic Policy Review , Issue Sep , Pages 83-108

Journal Article
The yield curve as a predictor of U.S. recessions
Estrella, Arturo; Mishkin, Frederic S. (1996-06)
The yield curve--specifically, the spread between the interest rates on the ten-year Treasury note and the three-month Treasury bill--is a valuable forecasting tool. It is simple to use and significantly outperforms other financial and macroeconomic indicators in predicting recessions two to six quarters ahead.
Current Issues in Economics and Finance , Volume 2 , Issue Jun

Monograph
Instruments of the money market
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

Journal Article
Flight to safety and U.S. Treasury securities
Sengupta, Rajdeep; Noeth, Bryan J. (2010-07)
As in most crises, investors turned to Treasuries in droves over the past couple of years, even as yields declined.
The Regional Economist , Issue Jul , Pages 18-19

Journal Article
Bureau of Public Debt ends window services at Fed banks
anonymous (1999-07)
Financial Update , Volume 12 , Issue Jul

Report
Buybacks in Treasury cash and debt management
Rutherford, Matthew; Garbade, Kenneth D. (2007)
This paper examines the use of buybacks in Treasury cash and debt management. We review the mechanics and results of the buyback operations conducted in 2000-01, during a time of budget surpluses, and assess the prospective use of buybacks in the absence of a surplus. Possible future applications include (i) managing the liquidity of the new-issue markets when deficits are declining (by allowing Treasury officials to postpone a decision to discontinue a series without also being compelled to shrink new-issue sizes); (ii) actively promoting the liquidity of the new-issue markets (by ...
Staff Reports , Paper 304

Journal Article
Using T-bill futures to gauge interest rate expectations
Poole, William (1978-04)
Economic Review , Issue Spr , Pages 7-19

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