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Showing results 1 to 10 of approximately 45.
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Journal Article
The institutionalization of treasury note and bond auctions, 1970-75
The substitution of auctions for fixed-price offerings was expected to lower the U.S. Treasury's cost of financing the federal debt. Despite this and other potential benefits, the Treasury failed in both 1935 and 1963 in its attempts to introduce regular auction sales of coupon-bearing securities. This article examines the Treasury's third and successful attempt between 1970 and 1975. The author identifies three likely reasons why the Treasury succeeded in the early 1970s: it closely imitated its successful and well-understood bill auction process, it extended the maturity of auction ...
Report
The microstructure of the TIPS market
We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the ...
Journal Article
Assessing the Costs of Rolling Over Government Debt
The US government has $21.4 trillion in outstanding Treasury debt in bills, notes, and bonds. Given the federal funds rate is up 4-5% over the past year, how expensive will it be to roll over maturing Treasury debt at these higher rates?
Report
An empirical analysis of stock and bond market liquidity
This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting ...
Speech
Remarks on the role of central bank interactions with financial markets
Remarks at New York University's Stern School of Business, New York City.
Report
Responses to the financial crisis, treasury debt, and the impact on short-term money markets
Several programs have been introduced by U.S. fiscal and monetary authorities in response to the financial crisis. We examine the responses involving Treasury debt?the Term Securities Lending Facility (TSLF), the Supplemental Financing Program, increases in Treasury issuance, and open market operations?and their impacts on the overnight Treasury general collateral repo rate, a key money market rate. Our contribution is to consider each policy in light of the others, both to help guide policy responses to future crises and to emphasize policy interactions. Only the TSLF was designed to ...
Speech
Dollar asset markets: prospects after the crisis
Remarks at the ACI 2010 World Congress, Sydney, Australia.
Speech
The implementation of recent monetary policy actions
Remarks at the Annual Meeting with Primary Dealers, New York City.
Speech
The case for TIPS: an examination of the costs and benefits
Remarks at the Federal Reserve Bank of New York Inflation-Indexed Securities and Inflation Risk Management Conference.