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Keywords:Treasury bills 

Journal Article
Seasonal movements in short-term yield spreads

An abstract for this article is not available
Economic Review , Volume 64 , Issue Jul , Pages 10-17

Journal Article
Treasury bill versus private money market yield curves

An abstract for this article is not available
Economic Review , Volume 72 , Issue Jul , Pages 3-12

Monograph
Instruments of the money market (foreword)

Monograph

Monograph
Treasury bills

Monograph

Monograph
Instruments of the money market

Monograph

Report
Interest rate expectations and the shape of the yield curve

According to the rational expectations hypothesis of the term structure (REHTS) long term rates should reflect market expectations for the average level of future short-term rates. The purpose of this paper is to examine whether REHTS assumptions conform to the term structure of outstanding U. S. Treasury securities from 1973 to 1995, and to examine the behavior of term premiums and to what extent they influence the shape of the forward curve. REHTS assumptions are re-examined using familiar regression tests to determine the forecast power of forward rates for subsequent spot rates, and we ...
Research Paper , Paper 9631

Speech
Money markets after liftoff: assessment to date and the road ahead

Remarks at the 70th Anniversary Celebration of the School of International and Public Affairs at Columbia University, New York City.
Speech , Paper 193

Report
How do treasury dealers manage their positions?

Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week.
Staff Reports , Paper 299

Report
Buybacks in Treasury cash and debt management

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

Report
Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements

We identify striking adjustment patterns for price volatility, trading volume, and bid-ask spreads in the U.S. Treasury market when public information arrives. Using newly available high-frequency data, we find a notable lack of trading volume upon a major announcement when prices are most volatile. The bid-ask spread widens dramatically with price volatility and narrows just as dramatically with trading volume. Trading volume surges only after an appreciable lag following the announcement. High levels of price volatility and trading volume then persist, with volume persisting somewhat longer.
Staff Reports , Paper 27

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Fleming, Michael J. 12 items

Cook, Timothy Q. 5 items

Garbade, Kenneth D. 5 items

Lawler, Thomas A. 3 items

Estrella, Arturo 2 items

Remolona, Eli M. 2 items

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Treasury bills 66 items

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