The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets...

Settlement fails, which occur when securities are not delivered and paid for on the date scheduled by the buyer and seller, can expose market participants to the risk of loss due to counterparty insolvency. This article examines the institutional and economic setting of the fails problem that...

This paper was presented at the conference "Economic Statistics: New Needs for the Twenty-First Century," cosponsored by the Federal Reserve Bank of New York, the Conference on Research in Income and Wealth, and the National Association for Business Economics, July 11, 2002. Securities liquidity...

The issues of liquidity and price transparency in derivatives markets have taken on greater import given regulatory efforts under way to improve their transparency. To date, the lack of transaction data has impeded the understanding of how the inflation swap and other derivatives markets...

This article assesses the rationale, operations, and implications of the Federal Reserve’s market functioning purchases. The security purchases were introduced in March 2020, when massive customer selling of U.S. Treasury securities and agency mortgage-backed securities triggered by the...

In an examination of the U.S. Treasury securities market, the authors attempt to explain the sharpest price changes and most active trading episodes. They find that each of the twenty-five largest price shocks and twenty-five greatest trading surges can be attributed to just-released...

U.S. Treasury securities are traded in London and Tokyo as well as in New York, creating a virtual round-the-clock market. The author describes that market by examining trading volume, price volatility, and bid-ask spreads over the global trading day. He finds that trading volume and price...

This study examines the resolution of Lehman Brothers Holdings Inc. in the U.S. Bankruptcy Court in order to clarify the sources of complexity in its resolution and to inform the debate on appropriate resolution mechanisms for financial institutions. The authors focus on the settlement of...

The potential advantages from the introduction of Treasury inflation-protected securities (TIPS) in 1997 have not been fully realized, mainly because TIPS are less liquid than nominal Treasury securities. The lack of liquidity is thought to adversely affect TIPS prices relative to prices of...