Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Closer Look at the Federal Reserve’s Securities Lending Program |
0 |
1 |
9 |
52 |
5 |
12 |
30 |
100 |
Advent of Trade Reporting for U.S. Treasury Securities |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
18 |
All-to-All Trading in the U.S. Treasury Market |
0 |
1 |
1 |
15 |
0 |
4 |
15 |
34 |
An analysis of CDS transactions: implications for public reporting |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
98 |
An analysis of OTC interest rate derivatives transactions: implications for public reporting |
0 |
0 |
1 |
24 |
0 |
0 |
1 |
109 |
Anomalous bidding in short-term Treasury bill auctions |
0 |
0 |
0 |
77 |
0 |
1 |
3 |
502 |
Are larger Treasury issues more liquid? Evidence from bill reopenings |
0 |
0 |
1 |
158 |
1 |
1 |
3 |
865 |
Assessing the Price Impact of Treasury Market Workups |
0 |
0 |
0 |
11 |
0 |
0 |
3 |
24 |
At the N.Y. Fed: Workshop on the Risks of Wholesale Funding |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
16 |
Breaking Down TRACE Volumes Further |
0 |
0 |
1 |
4 |
1 |
1 |
3 |
20 |
Breaking Down TRACE Volumes Further |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
18 |
Changes in the Returns to Market Making |
0 |
1 |
2 |
16 |
0 |
1 |
3 |
37 |
Characterizing the Rising Settlement Fails in Seasoned Treasury Securities |
0 |
0 |
0 |
5 |
0 |
1 |
2 |
19 |
Continuing the Conversation on Liquidity |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
13 |
Corporate Bond Market Liquidity Redux: More Price-Based Evidence |
0 |
0 |
2 |
21 |
0 |
0 |
3 |
22 |
Creditor Recovery in Lehman’s Bankruptcy |
0 |
1 |
4 |
65 |
0 |
3 |
15 |
331 |
Customer and Employee Losses in Lehman’s Bankruptcy |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
18 |
Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets |
0 |
1 |
2 |
33 |
0 |
1 |
5 |
105 |
Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed-Income Markets |
1 |
3 |
4 |
17 |
2 |
4 |
8 |
68 |
Dealer Capacity and U.S. Treasury Market Functionality |
0 |
0 |
0 |
17 |
0 |
1 |
9 |
21 |
Dealer Participation in the TSLF Options Program |
0 |
0 |
4 |
7 |
0 |
2 |
6 |
20 |
Dealer Trading and Positioning in Floating Rate Notes |
0 |
0 |
1 |
14 |
0 |
1 |
3 |
20 |
Dealer capacity and US Treasury market functionality |
0 |
0 |
1 |
5 |
1 |
2 |
10 |
15 |
Dealer financial conditions and lender-of-last resort facilities |
0 |
0 |
0 |
56 |
0 |
0 |
0 |
212 |
Dealers’ Positions and the Auction Cycle |
0 |
0 |
1 |
8 |
0 |
0 |
1 |
20 |
Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity? |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
19 |
Do You Know How Your Treasury Trades Are Cleared and Settled? |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
30 |
ECB Monetary Operations and the Interbank Repo Market |
0 |
0 |
0 |
33 |
0 |
0 |
4 |
123 |
ECB monetary operations and the interbank repo market |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
107 |
End‑of‑Month Liquidity in the Treasury Market |
0 |
3 |
6 |
6 |
0 |
1 |
6 |
6 |
Failure Is No Longer a (Free) Option for Agency Debt and Mortgage-Backed Securities |
0 |
0 |
0 |
5 |
0 |
1 |
1 |
15 |
Federal Reserve liquidity provision during the financial crisis of 2007-2009 |
0 |
0 |
0 |
59 |
0 |
0 |
2 |
123 |
Financial market implications of the federal debt paydown |
0 |
0 |
1 |
89 |
0 |
0 |
3 |
543 |
Has Liquidity Risk in the Corporate Bond Market Increased? |
1 |
1 |
2 |
23 |
1 |
1 |
5 |
52 |
Has Liquidity Risk in the Treasury and Equity Markets Increased? |
0 |
0 |
1 |
18 |
0 |
0 |
3 |
34 |
Has MBS Market Liquidity Deteriorated? |
0 |
1 |
1 |
16 |
0 |
1 |
3 |
17 |
Has Treasury Market Liquidity Improved in 2024? |
0 |
3 |
8 |
8 |
0 |
2 |
8 |
8 |
Has U.S. Treasury Market Liquidity Deteriorated? |
0 |
0 |
1 |
27 |
1 |
1 |
6 |
72 |
Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market |
0 |
0 |
0 |
145 |
0 |
0 |
2 |
794 |
Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market |
0 |
0 |
0 |
149 |
0 |
1 |
1 |
915 |
How Does Tick Size Affect Treasury Market Quality? |
1 |
1 |
2 |
12 |
1 |
1 |
4 |
33 |
How Does the Liquidity of New Treasury Securities Evolve? |
0 |
0 |
2 |
13 |
1 |
2 |
4 |
47 |
How Has Treasury Market Liquidity Evolved in 2023? |
0 |
0 |
1 |
3 |
0 |
0 |
3 |
9 |
How Liquid Has the Treasury Market Been in 2022? |
0 |
0 |
1 |
17 |
0 |
0 |
1 |
25 |
How Liquid Is the Inflation Swap Market? |
0 |
0 |
3 |
29 |
0 |
0 |
6 |
68 |
How Liquid Is the New 20-Year Treasury Bond? |
0 |
0 |
0 |
19 |
2 |
8 |
15 |
80 |
How Might Increased Transparency Affect the CDS Market? |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
11 |
How Much Value Was Destroyed by the Lehman Bankruptcy? |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
35 |
How do treasury dealers manage their positions? |
0 |
0 |
1 |
199 |
0 |
1 |
6 |
1,445 |
How workers use 401(k) plans: the participation, contribution, and withdrawal decisions |
0 |
0 |
0 |
276 |
2 |
2 |
5 |
1,435 |
Information on Dealer Activity in Specific Treasury Issues Now Available |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
9 |
Intraday market making with overnight inventory costs |
0 |
0 |
0 |
30 |
0 |
0 |
6 |
131 |
Introduction to a Series on Market Liquidity |
0 |
0 |
2 |
4 |
1 |
1 |
3 |
12 |
Introduction to a Series on Market Liquidity: Part 2 |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
10 |
Is Treasury Market Liquidity Becoming More Concentrated |
0 |
0 |
1 |
13 |
0 |
0 |
1 |
17 |
Lehman's Bankruptcy Expenses |
0 |
0 |
0 |
7 |
0 |
1 |
3 |
36 |
Liquidity and volatility in the U.S. treasury market |
0 |
0 |
2 |
124 |
0 |
0 |
6 |
349 |
Market Liquidity after the Financial Crisis |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
30 |
Market Liquidity after the Financial Crisis |
0 |
0 |
1 |
50 |
0 |
1 |
6 |
96 |
Market liquidity after the financial crisis |
0 |
0 |
1 |
161 |
1 |
1 |
8 |
282 |
Measuring Settlement Fails |
0 |
0 |
2 |
9 |
0 |
0 |
2 |
31 |
Measuring Treasury Market Depth |
0 |
0 |
15 |
15 |
0 |
0 |
10 |
10 |
Measuring treasury market liquidity |
0 |
0 |
2 |
565 |
0 |
3 |
9 |
1,621 |
New evidence on the effectiveness of the proxy mechanism |
1 |
1 |
1 |
77 |
1 |
1 |
3 |
688 |
Options of Last Resort |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
14 |
Preserving firm value through exit: the case of voluntary liquidations |
0 |
0 |
1 |
75 |
0 |
1 |
2 |
376 |
Price Impact of Trades and Orders in the U.S. Treasury Securities Market |
0 |
1 |
2 |
27 |
0 |
1 |
5 |
50 |
Price and size discovery in financial markets: evidence from the U.S. Treasury securities market |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
141 |
Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements |
0 |
0 |
0 |
189 |
2 |
2 |
2 |
816 |
Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements |
0 |
0 |
0 |
131 |
0 |
0 |
1 |
601 |
Primary Dealer Participation in the Secondary U.S. Treasury Market |
0 |
0 |
0 |
19 |
1 |
2 |
6 |
41 |
Primary Dealers’ Waning Role in Treasury Auctions |
0 |
0 |
0 |
14 |
0 |
0 |
3 |
28 |
Redemption Risk of Bond Mutual Funds and Dealer Positioning |
0 |
0 |
3 |
19 |
0 |
0 |
4 |
55 |
Repo Market Microstructure in Unusual Monetary Policy Conditions |
1 |
1 |
1 |
55 |
1 |
1 |
4 |
280 |
Repo market effects of the Term Securities Lending Facility |
0 |
0 |
0 |
98 |
0 |
1 |
4 |
350 |
The 2022 Spike in Corporate Security Settlement Fails |
0 |
0 |
5 |
12 |
0 |
1 |
9 |
18 |
The Bond Market Selloff in Historical Perspective |
0 |
0 |
3 |
13 |
1 |
2 |
5 |
29 |
The COVID-19 Pandemic and the Fed’s Response |
0 |
4 |
19 |
535 |
2 |
11 |
35 |
916 |
The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data |
0 |
0 |
2 |
70 |
0 |
0 |
11 |
395 |
The Evolution of Workups in the U.S. Treasury Securities Market |
0 |
0 |
0 |
22 |
0 |
1 |
2 |
44 |
The Failure Resolution of Lehman Brothers |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
35 |
The Federal Reserve’s Market Functioning Purchases |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
14 |
The Impact of Trade Reporting on the Interest Rate Derivatives Market |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
9 |
The Indirect Costs of Lehman’s Bankruptcy |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
21 |
The Microstructure of China's Government Bond Market |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
157 |
The Microstructure of a U.S. Treasury ECN: The Brokertec Platform |
0 |
0 |
1 |
54 |
0 |
0 |
3 |
439 |
The Netting Efficiencies of Marketwide Central Clearing |
0 |
0 |
1 |
30 |
0 |
1 |
3 |
68 |
The Recent Bond Market Selloff in Historical Perspective |
1 |
1 |
2 |
10 |
1 |
1 |
3 |
50 |
The SOMA Portfolio through Time |
0 |
0 |
0 |
10 |
1 |
2 |
7 |
78 |
The microstructure of a U.S. Treasury ECN: the BrokerTec platform |
0 |
0 |
2 |
139 |
0 |
0 |
4 |
572 |
The microstructure of the TIPS market |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
149 |
The term structure of announcement effects |
0 |
1 |
1 |
60 |
0 |
2 |
5 |
345 |
The term structure of announcement effects |
0 |
0 |
1 |
345 |
1 |
3 |
8 |
1,453 |
Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market |
0 |
0 |
0 |
24 |
0 |
1 |
3 |
72 |
Trading activity in the Indian government bond market |
0 |
1 |
1 |
12 |
0 |
2 |
2 |
66 |
Transparency and Sources of Information on the Federal Reserve’s Operations, Income, and Balance Sheet |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
7 |
Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic |
1 |
1 |
4 |
195 |
1 |
3 |
8 |
465 |
Treasury Market Liquidity during the COVID-19 Crisis |
0 |
1 |
2 |
366 |
2 |
5 |
10 |
803 |
Treasury Market When-Issued Trading Activity |
5 |
9 |
43 |
101 |
30 |
62 |
275 |
473 |
U.S. Treasury Market Action on Election Night 2016 |
0 |
0 |
1 |
14 |
0 |
1 |
4 |
22 |
Unlocking the Treasury Market through TRACE |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
58 |
Unlocking the Treasury Market through TRACE |
0 |
0 |
0 |
8 |
0 |
1 |
1 |
36 |
What Explains the June Spike in Treasury Settlement Fails? |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
17 |
What if? A Counterfactual SOMA Portfolio |
0 |
1 |
1 |
2 |
0 |
1 |
2 |
13 |
What moves the bond market? |
0 |
0 |
1 |
1,051 |
1 |
2 |
10 |
2,734 |
What's Driving Dealer Balance Sheet Stagnation? |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
38 |
What’s behind the March Spike in Treasury Fails? |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
19 |
Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities? |
0 |
0 |
0 |
37 |
0 |
1 |
1 |
74 |
Total Working Papers |
12 |
39 |
190 |
6,878 |
68 |
183 |
742 |
24,534 |
Journal Article |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS* |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
49 |
Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
300 |
Are larger Treasury issues more liquid? Evidence from bill reopenings |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
194 |
Dealer behavior in the specials market for US Treasury securities |
1 |
3 |
6 |
223 |
1 |
9 |
26 |
581 |
Dealer financial conditions and lender-of-last-resort facilities |
0 |
0 |
1 |
31 |
0 |
5 |
8 |
164 |
Explaining settlement fails |
0 |
0 |
3 |
102 |
0 |
0 |
4 |
314 |
Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009 |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
124 |
How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions |
0 |
0 |
0 |
3 |
1 |
2 |
3 |
58 |
How do Treasury dealers manage their positions? |
1 |
3 |
4 |
4 |
2 |
7 |
13 |
13 |
Income effects of Federal Reserve liquidity facilities |
0 |
0 |
0 |
59 |
0 |
0 |
0 |
199 |
Intraday market making with overnight inventory costs |
0 |
0 |
1 |
6 |
0 |
0 |
2 |
41 |
Liquidity and volatility in the U.S. Treasury market |
0 |
0 |
1 |
31 |
3 |
3 |
7 |
107 |
Market Liquidity After the Financial Crisis |
0 |
0 |
2 |
12 |
0 |
1 |
4 |
83 |
Measuring treasury market liquidity |
1 |
3 |
6 |
490 |
2 |
4 |
14 |
1,577 |
Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information |
0 |
2 |
8 |
232 |
1 |
3 |
14 |
617 |
Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
34 |
Repo Market Effects of the Term Securities Lending Facility |
1 |
2 |
2 |
68 |
1 |
2 |
4 |
242 |
Repurchase agreements with negative interest rates |
0 |
0 |
0 |
234 |
0 |
0 |
0 |
771 |
The Federal Reserve's foreign exchange swap lines |
0 |
0 |
2 |
79 |
0 |
1 |
4 |
282 |
The Federal Reserve’s Market Functioning Purchases |
2 |
2 |
2 |
3 |
4 |
5 |
9 |
25 |
The Term Securities Lending Facility: origin, design, and effects |
0 |
0 |
3 |
88 |
0 |
2 |
8 |
363 |
The benchmark U.S. Treasury market: recent performance and possible alternatives |
0 |
0 |
0 |
182 |
0 |
0 |
2 |
850 |
The failure resolution of Lehman Brothers |
0 |
0 |
0 |
43 |
0 |
0 |
6 |
157 |
The microstructure of a U.S. Treasury ECN: The BrokerTec platform |
0 |
0 |
0 |
7 |
0 |
1 |
3 |
57 |
The microstructure of the TIPS market |
0 |
0 |
1 |
17 |
0 |
1 |
7 |
112 |
The round-the-clock market for U.S. Treasury securities |
0 |
0 |
0 |
138 |
0 |
0 |
1 |
696 |
Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market |
0 |
1 |
3 |
3 |
0 |
1 |
11 |
11 |
Trading activity and price transparency in the inflation swap market |
0 |
0 |
0 |
20 |
0 |
1 |
3 |
85 |
What financing data reveal about dealer leverage |
0 |
1 |
2 |
114 |
0 |
1 |
2 |
345 |
What moves the bond market? |
0 |
1 |
5 |
323 |
2 |
5 |
17 |
1,047 |
When the back office moved to the front burner: settlement fails in the treasury market after 9/11 |
0 |
0 |
1 |
204 |
0 |
2 |
4 |
875 |
Who buys Treasury securities at auction? |
0 |
0 |
0 |
90 |
0 |
0 |
1 |
363 |
Total Journal Articles |
6 |
18 |
53 |
2,841 |
17 |
57 |
185 |
10,736 |