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Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2001 - [Elektronische Ressource]
more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …
Persistent link: https://www.econbiz.de/10001629622
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
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 … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
Persistent link: https://www.econbiz.de/10001752003
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Estimating probabilities of default
Schuermann, Til (contributor); Hanson, Samuel G. (contributor) - 2004 - [Elektronische Ressource]
"We conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD), using several analytical approaches from large-sample theory and bootstrapped small-sample confidence intervals. We do so for two different PD estimation methods--cohort and duration...
Persistent link: https://www.econbiz.de/10002521762
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Are larger treasury issues more liquid? : Evidence from bill reopenings
Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656398
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One reason countries pay their debts : renegotiation and international trade
Rose, Andrew (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001629624
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Financial market implications of the Federal debt paydown
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001589547
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Measuring treasury market liquidity
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590059
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Implementing the Federal Reserve's asset purchase program
Sack, Brian P. - Federal Reserve Bank of New York - 2011
Remarks at Global Interdependence Center Central Banking Series Event, Federal Reserve Bank of Philadelphia.
Persistent link: https://www.econbiz.de/10010725012
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An empirical analysis of stock and bond market liquidity
Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - Federal Reserve Bank of New York - 2003
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 … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …
Persistent link: https://www.econbiz.de/10005726613
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ECB monetary operations and the interbank repo market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Federal Reserve Bank of New York - 2013
We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...
Persistent link: https://www.econbiz.de/10010732481