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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

Working Paper
Fiscal positions and government bond yields in OECD countries
Kamin, Steven B.; Gruber, Joseph W. (2010)
We examine the impact of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the OECD. In order to control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal performance on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions associated with the recent financial crisis is to add ...
International Finance Discussion Papers , Paper 1011

Report
The case for TIPS: an examination of the costs and benefits
Roush, Jennifer E.; Dudley, William; Ezer, Michelle Steinberg (2008)
Several studies have shown that, ex-post, the issuance of Treasury Inflation-Protected Securities (TIPS) has cost U.S. taxpayers money. We propose that evaluations of the TIPS program be more comprehensive and focus on the ex-ante costs of TIPS issuance versus nominal Treasury issuance and, especially when these costs are negligible, the more difficult-to-measure benefits of the program. Our study finds that the ex-ante costs of TIPS issuance versus nominal Treasury issuance are currently about equal and that TIPS provide meaningful benefits to investors and policymakers.
Staff Reports , Paper 353

Working Paper
Requiem for a market marker: the case of Drexel Burham Lambert and below-investment-grade bonds
Brewer, Elijah; Adams, William James (1997)
Working Paper Series, Issues in Financial Regulation , Paper WP-97-25

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

Working Paper
Determinants of the spread between Treasury bill and private sector money market rates
Cook, Timothy Q. (1980)
The purpose of this paper is to explore the reasons underlying the variable and sometimes very large differentials between United States Treasury bill rates and private sector U.S. money market rates of comparable maturity.
Working Paper , Paper 79-04

Journal Article
Estimating the macroeconomic effects of the Fed’s asset purchases
Chung, Hess T.; Reifschneider, David L.; Williams, John C.; Laforte, Jean-Philippe (2011)
An analysis shows that the Federal Reserve?s large-scale asset purchases have been effective at reducing the economic costs of the zero lower bound on interest rates. Model simulations indicate that, by 2012, the past and projected expansion of the Fed?s securities holdings since late 2008 will lower the unemployment rate by 1 percentage points relative to what it would have been absent the purchases. The asset purchases also have probably prevented the U.S. economy from falling into deflation.
FRBSF Economic Letter

Journal Article
New model identifies optimal conditions for calling U.S. Treasury bonds
anonymous (1996-04)
Economics Update , Issue Apr , Pages 5

Report
A three-factor econometric model of the U.S. term structure
Gong, Frank F.; Remolona, Eli M. (1997)
We estimate a three-factor model to fit both the time-series dynamics and cross-sectional shapes of the U.S. term structure. In the model, three unobserved factors drive a discrete-time stochastic discount process, with one factor reverting to a fixed mean and a second factor reverting to a third factor. To exploit the conditional density of yields, we estimate the model with a Kalman filter, a procedure that also allows us to use data for six maturities without making special assumptions about measurement errors. The estimated model reproduces the basic shapes of the average term structure, ...
Staff Reports , Paper 19

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