[...]This article adds to the literature by estimating andevaluating a comprehensive set of liquidity measures for theU.S. Treasury securities market. High-frequency data from theinterdealer market allow for an analysis of trading volume,trading frequency, bid-ask spreads, quote sizes, trade...

[...]Our first suggestion is to reduce the fragmentation oftrading in STRIPS by assigning the same CUSIP number to allSTRIPS maturing on a common date—thus making thoseSTRIPS fungible with each other. In addition to enhancing theliquidity of the STRIPS market, this action would ensure...

[...]This article describes the institutional and economic settingof the fails problem and suggests why that problem led policymakers to depart so significantly from previous debtmanagement practices. The next section sets the stage byreviewing how investors establish beneficial ownership...

[...]In this article, we take a close look at a single yearin the U.S. Treasury securities market (which we refer to asthe bond market) and attempt to identify information thatmay account for the sharpest price changes and the mostactive trading episodes. Sharp price moves may be attributedto...

[...]This article provides the first detailed intraday analysis of the round-the-clock market for U.S. Treasurysecurities. The analysis, covering the period from April 4to August 19, 1994, uses comprehensive data on tradingactivity among the primary government securities dealers.Trading volume,...

[...]Importantly, these studies rely entirely on ex post analysis.In other words, the studies ask, Given the actual inflationoutcome, did the costs of TIPS issuances exceed the costs ofnominal Treasury issuances of similar durations? Thisapproach depends on the actual inflation outcome, which...