Narrow search
Showing 1 - 10 of 55
Cover Image
An empirical analysis of stock and bond market liquidity
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2003 - [Elektronische Ressource]
-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 that common factors …
Persistent link: https://www.econbiz.de/10001752003
Cover Image
Anomalous bidding in short-term treasury bill auctions
Fleming, Michael J. (contributor);  … - 2004 - [Elektronische Ressource]
We show that Treasury bill auction procedures create classes of price-equivalent discount rates for bills with fewer than seventy-two days to maturity. We argue that it is inefficient for market participants to bid at a discount rate that is not the minimum rate in its class. The inefficiency of...
Persistent link: https://www.econbiz.de/10002101530
Cover Image
Are larger treasury issues more liquid? : Evidence from bill reopenings
Fleming, Michael J. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001656398
Cover Image
Financial market implications of the Federal debt paydown
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001589547
Cover Image
Measuring treasury market liquidity
Fleming, Michael J. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001590059
Cover Image
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
Cover Image
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]
We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...
Persistent link: https://www.econbiz.de/10001629622
Cover Image
Stock market reaction to financial statement certification by bank holding company CEOs
Hirtle, Beverly J. (contributor) - 2003 - [Elektronische Ressource]
In 2002, the Securities and Exchange Commission mandated that the chief executive officers of large, publicly traded firms certify the accuracy of their company financial statements. In this paper, I investigate whether CEO certification has had a measurable effect on the stock market valuation...
Persistent link: https://www.econbiz.de/10001783071
Cover Image
The microstructure of China's government bond market
Bai, Jennie; Fleming, Michael; Horan, Casidhe - Federal Reserve Bank of New York - 2013
Although China now has one of the largest government bond markets in the world, the market has received relatively … announcements of macroeconomic news, such as China’s producer price index (PPI) and manufacturing purchasing managers’ index (PMI …
Persistent link: https://www.econbiz.de/10010667569
Cover Image
Forecasting recessions using the yield curve
Chauvet, Marcelle (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001630849