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Working Paper
Collusion in uniform-price auctions: experimental evidence and implications for Treasury auctions
Rebello, Michael J.; Goswami, Gautam; Noe, Thomas H. (1995)
In uniform-price auctions of shares there exist collusive equilibria in which bidders capture the entire surplus from the auction as well as competitive equilibria in which the auctioneer captures the entire surplus from the auction. We provide experimental evidence that, in uniform-price auctions, non-binding pre-play communication facilitates convergence to collusive equilibrium outcomes. On the other hand, regardless of the opportunities for communication, in discriminatory-auction experiments subject strategies conform closely with the unique equilibrium in undominated strategies in which ...
FRB Atlanta Working Paper , Paper 95-5

Journal Article
What certificates pay
Judd, John P. (1978)
FRBSF Economic Letter

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

Working Paper
The effect of tick size on Treasury auctions
Cohen, Hugh; McBeth, Douglas (1994)
FRB Atlanta Working Paper , Paper 94-9

Journal Article
Enhancing the liquidity of U.S. Treasury securities in an era of surpluses
Kambhu, John; Barbade, Kenneth; Bennett, Paul (2000-04)
Economic Policy Review , Issue Apr , Pages 89-119

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

Journal Article
Yield differentials in treasury bills, 1959-64
Katz, Samuel I. (1964-10)
Federal Reserve Bulletin , Issue Oct

Conference Paper
Are larger Treasury issues more liquid? Evidence from bill reopenings
Fleming, Michael J. (2002)
Proceedings

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

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