| 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 |
0 |
19 |
19 |
1 |
3 |
8 |
8 |
| Advent of Trade Reporting for U.S. Treasury Securities |
0 |
0 |
1 |
1 |
0 |
1 |
3 |
3 |
| An analysis of CDS transactions: implications for public reporting |
0 |
0 |
0 |
18 |
1 |
1 |
5 |
86 |
| An analysis of OTC interest rate derivatives transactions: implications for public reporting |
0 |
0 |
0 |
23 |
0 |
1 |
8 |
101 |
| An index of Treasury Market liquidity: 1991-2017 |
0 |
1 |
6 |
55 |
2 |
9 |
112 |
291 |
| Anomalous bidding in short-term Treasury bill auctions |
0 |
0 |
0 |
74 |
0 |
2 |
9 |
489 |
| Are larger Treasury issues more liquid? Evidence from bill reopenings |
0 |
0 |
1 |
151 |
0 |
2 |
8 |
841 |
| Assessing the Price Impact of Treasury Market Workups |
0 |
0 |
9 |
9 |
0 |
0 |
3 |
3 |
| At the N.Y. Fed: Workshop on the Risks of Wholesale Funding |
0 |
1 |
2 |
2 |
0 |
1 |
5 |
5 |
| Breaking Down TRACE Volumes Further |
0 |
0 |
1 |
8 |
0 |
0 |
5 |
14 |
| Breaking Down TRACE Volumes Further |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
5 |
| Changes in the Returns to Market Making |
0 |
0 |
8 |
8 |
0 |
0 |
19 |
19 |
| Characterizing the Rising Settlement Fails in Seasoned Treasury Securities |
0 |
0 |
2 |
2 |
1 |
2 |
4 |
4 |
| Continuing the Conversation on Liquidity |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
| Corporate Bond Market Liquidity Redux: More Price-Based Evidence |
0 |
0 |
17 |
17 |
0 |
0 |
9 |
9 |
| Creditor Recovery in Lehman’s Bankruptcy |
0 |
3 |
9 |
9 |
5 |
21 |
54 |
54 |
| Customer and Employee Losses in Lehman’s Bankruptcy |
0 |
0 |
1 |
1 |
1 |
2 |
9 |
9 |
| Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets |
0 |
0 |
5 |
30 |
0 |
1 |
18 |
88 |
| Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed-Income Markets |
0 |
1 |
3 |
3 |
0 |
1 |
18 |
18 |
| Dealer Participation in the TSLF Options Program |
1 |
1 |
3 |
3 |
1 |
2 |
8 |
8 |
| Dealer Trading and Positioning in Floating Rate Notes |
0 |
0 |
10 |
10 |
0 |
1 |
7 |
7 |
| Dealer financial conditions and lender-of-last resort facilities |
0 |
1 |
1 |
55 |
1 |
3 |
13 |
198 |
| Dealers’ Positions and the Auction Cycle |
1 |
1 |
2 |
2 |
1 |
1 |
5 |
5 |
| Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity? |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
6 |
| Do You Know How Your Treasury Trades Are Cleared and Settled? |
0 |
0 |
3 |
3 |
1 |
2 |
7 |
7 |
| ECB Monetary Operations and the Interbank Repo Market |
0 |
0 |
0 |
33 |
3 |
5 |
13 |
99 |
| ECB monetary operations and the interbank repo market |
0 |
0 |
0 |
1 |
0 |
1 |
8 |
97 |
| Failure Is No Longer a (Free) Option for Agency Debt and Mortgage-Backed Securities |
0 |
0 |
4 |
4 |
1 |
1 |
4 |
4 |
| Federal Reserve liquidity provision during the financial crisis of 2007-2009 |
0 |
1 |
4 |
54 |
0 |
1 |
9 |
101 |
| Financial market implications of the federal debt paydown |
0 |
0 |
1 |
88 |
0 |
0 |
8 |
530 |
| Has Liquidity Risk in the Corporate Bond Market Increased? |
0 |
1 |
8 |
8 |
0 |
3 |
15 |
15 |
| Has Liquidity Risk in the Treasury and Equity Markets Increased? |
0 |
0 |
13 |
13 |
0 |
0 |
11 |
11 |
| Has MBS Market Liquidity Deteriorated? |
0 |
0 |
12 |
12 |
0 |
0 |
2 |
2 |
| Has U.S. Treasury Market Liquidity Deteriorated? |
0 |
0 |
3 |
3 |
0 |
0 |
8 |
8 |
| Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market |
0 |
0 |
0 |
149 |
1 |
2 |
5 |
904 |
| Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market |
0 |
1 |
1 |
145 |
0 |
1 |
8 |
787 |
| How Does Tick Size Affect Treasury Market Quality? |
1 |
1 |
7 |
7 |
1 |
2 |
17 |
17 |
| How Does the Liquidity of New Treasury Securities Evolve? |
0 |
1 |
8 |
8 |
1 |
7 |
15 |
15 |
| How Liquid Is the Inflation Swap Market? |
1 |
2 |
10 |
10 |
1 |
3 |
11 |
11 |
| How Liquid Is the New 20-Year Treasury Bond? |
0 |
1 |
9 |
9 |
0 |
6 |
15 |
15 |
| How Might Increased Transparency Affect the CDS Market? |
1 |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
| How Much Value Was Destroyed by the Lehman Bankruptcy? |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
7 |
| How do treasury dealers manage their positions? |
0 |
1 |
6 |
192 |
0 |
4 |
17 |
1,394 |
| How workers use 401(k) plans: the participation, contribution, and withdrawal decisions |
0 |
0 |
1 |
275 |
0 |
4 |
23 |
1,419 |
| Information on Dealer Activity in Specific Treasury Issues Now Available |
0 |
1 |
2 |
2 |
0 |
1 |
3 |
3 |
| Intraday market making with overnight inventory costs |
0 |
0 |
1 |
25 |
3 |
6 |
20 |
91 |
| Introduction to a Series on Market Liquidity |
0 |
0 |
2 |
2 |
0 |
0 |
3 |
3 |
| Introduction to a Series on Market Liquidity: Part 2 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Is Treasury Market Liquidity Becoming More Concentrated |
0 |
0 |
11 |
11 |
0 |
1 |
8 |
8 |
| Lehman's Bankruptcy Expenses |
0 |
0 |
0 |
0 |
1 |
3 |
9 |
9 |
| Liquidity and volatility in the U.S. treasury market |
2 |
4 |
15 |
113 |
6 |
15 |
44 |
306 |
| Market Liquidity after the Financial Crisis |
0 |
0 |
2 |
49 |
1 |
2 |
10 |
67 |
| Market Liquidity after the Financial Crisis |
0 |
1 |
11 |
11 |
1 |
3 |
9 |
9 |
| Market liquidity after the financial crisis |
1 |
2 |
6 |
155 |
4 |
7 |
30 |
242 |
| Measuring Settlement Fails |
0 |
0 |
2 |
2 |
1 |
1 |
3 |
3 |
| Measuring treasury market liquidity |
0 |
0 |
3 |
557 |
0 |
1 |
20 |
1,554 |
| New evidence on the effectiveness of the proxy mechanism |
0 |
0 |
0 |
75 |
0 |
0 |
6 |
677 |
| Options of Last Resort |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Preserving firm value through exit: the case of voluntary liquidations |
0 |
0 |
1 |
69 |
0 |
1 |
6 |
363 |
| Price Impact of Trades and Orders in the U.S. Treasury Securities Market |
0 |
0 |
18 |
18 |
0 |
1 |
17 |
17 |
| Price and size discovery in financial markets: evidence from the U.S. Treasury securities market |
0 |
0 |
0 |
41 |
1 |
2 |
6 |
123 |
| Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements |
0 |
1 |
2 |
189 |
0 |
1 |
5 |
807 |
| Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements |
0 |
0 |
1 |
130 |
1 |
4 |
9 |
585 |
| Primary Dealer Participation in the Secondary U.S. Treasury Market |
0 |
0 |
10 |
10 |
0 |
0 |
6 |
6 |
| Primary Dealers’ Waning Role in Treasury Auctions |
0 |
0 |
6 |
6 |
0 |
0 |
5 |
5 |
| Redemption Risk of Bond Mutual Funds and Dealer Positioning |
0 |
1 |
6 |
6 |
1 |
3 |
17 |
17 |
| Repo Market Microstructure in Unusual Monetary Policy Conditions |
0 |
1 |
1 |
54 |
2 |
6 |
15 |
250 |
| Repo market effects of the Term Securities Lending Facility |
0 |
0 |
1 |
96 |
2 |
5 |
16 |
331 |
| The COVID-19 Pandemic and the Fed’s Response |
16 |
47 |
176 |
176 |
37 |
104 |
282 |
282 |
| The Evolution of Workups in the U.S. Treasury Securities Market |
0 |
0 |
12 |
12 |
1 |
3 |
13 |
13 |
| The Failure Resolution of Lehman Brothers |
0 |
0 |
1 |
1 |
2 |
4 |
9 |
9 |
| The Impact of Trade Reporting on the Interest Rate Derivatives Market |
0 |
0 |
2 |
2 |
0 |
0 |
3 |
3 |
| The Indirect Costs of Lehman’s Bankruptcy |
0 |
0 |
1 |
1 |
1 |
3 |
9 |
9 |
| The Microstructure of China's Government Bond Market |
0 |
0 |
5 |
103 |
1 |
1 |
14 |
148 |
| The Microstructure of a U.S. Treasury ECN: The Brokertec Platform |
0 |
0 |
0 |
50 |
2 |
3 |
6 |
419 |
| The Recent Bond Market Selloff in Historical Perspective |
0 |
0 |
2 |
2 |
0 |
2 |
11 |
11 |
| The SOMA Portfolio through Time |
0 |
0 |
0 |
0 |
2 |
5 |
8 |
8 |
| The microstructure of a U.S. Treasury ECN: the BrokerTec platform |
2 |
2 |
6 |
136 |
4 |
6 |
24 |
540 |
| The microstructure of the TIPS market |
0 |
0 |
0 |
29 |
1 |
3 |
7 |
136 |
| The term structure of announcement effects |
1 |
2 |
6 |
331 |
2 |
4 |
24 |
1,395 |
| The term structure of announcement effects |
0 |
0 |
1 |
55 |
0 |
0 |
10 |
322 |
| Tick size change and market quality in the U.S. treasury market |
0 |
0 |
0 |
18 |
2 |
5 |
17 |
37 |
| Trading activity in the Indian government bond market |
0 |
1 |
1 |
9 |
0 |
3 |
10 |
55 |
| Transparency and Sources of Information on the Federal Reserve’s Operations, Income, and Balance Sheet |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic |
9 |
31 |
84 |
84 |
17 |
65 |
146 |
146 |
| Treasury Market Liquidity during the COVID-19 Crisis |
5 |
16 |
103 |
103 |
20 |
50 |
188 |
188 |
| Treasury Market When-Issued Trading Activity |
20 |
20 |
20 |
20 |
7 |
7 |
7 |
7 |
| U.S. Treasury Market Action on Election Night 2016 |
0 |
0 |
8 |
8 |
1 |
1 |
6 |
6 |
| Unlocking the Treasury Market through TRACE |
0 |
0 |
4 |
17 |
1 |
3 |
14 |
42 |
| Unlocking the Treasury Market through TRACE |
0 |
0 |
5 |
5 |
0 |
0 |
10 |
10 |
| What Explains the June Spike in Treasury Settlement Fails? |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| What if? A Counterfactual SOMA Portfolio |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| What moves the bond market? |
0 |
4 |
13 |
1,036 |
3 |
14 |
47 |
2,669 |
| What's Driving Dealer Balance Sheet Stagnation? |
0 |
0 |
14 |
14 |
1 |
1 |
13 |
13 |
| What’s behind the March Spike in Treasury Fails? |
1 |
1 |
1 |
1 |
2 |
2 |
7 |
7 |
| Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities? |
0 |
0 |
34 |
34 |
0 |
0 |
52 |
52 |
| Total Working Papers |
62 |
154 |
792 |
5,384 |
156 |
452 |
1,758 |
19,727 |
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