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Are larger treasury issues more liquid? Evidence from bill reopenings

Fleming, Michael J. - 2002

This paper makes use of a natural experiment of the U.S. Treasury Department to examine the relationship between Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then reopened at twenty-six weeks are shown to be more liquid...

Persistent link: https://www.econbiz.de/10010283340

Financial market implications of the Federal debt paydown

Fleming, Michael J. - 2001

U.S. Treasury securities fill several crucial roles in financial markets: they are a risk-free benchmark, a reference and hedging benchmark, and a reserve asset to the Federal Reserve and other financial institutions. Many of the features that make the Treasury market an attractive benchmark and...

Persistent link: https://www.econbiz.de/10010283493

Trading activity in the Indian government bond market

Fleming, Michael J.; Saggar, Seema; Sareen, Samita - 2016

We study how the Indian government bond market functions, how it has changed over time, and what factors help explain some of its features. Looking at the primary market, we describe how underwriting obligations are allocated to primary dealers via auction and identify several significant...

Persistent link: https://www.econbiz.de/10011538015

The cost of capital of the financial sector

Adrian, Tobias; Friedman, Evan; Muir, Tyler - 2015

Standard factor pricing models do not capture well the common time-series or cross-sectional variation in average returns of financial stocks. We propose a five-factor asset pricing model that complements the standard Fama and French (1993) three-factor model with a financial sector ROE factor...

Persistent link: https://www.econbiz.de/10011460637

The private premium in public bonds

Kovner, Anna; Wei, Chenyang - 2012

This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 … estimated private premium increases to 40-50 basis points when a propensity matching methodology is used or when we control for … fixed issuer effects. Despite the premium pricing, bonds of private companies are no more likely to default or be downgraded …

Persistent link: https://www.econbiz.de/10010287070

Liquidity hoarding

Gale, Douglas; Yorulmazer, Tanja - 2011

Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We characterize the constrained efficient allocation as the solution to a planner's problem and show that the market equilibrium is constrained inefficient,...

Persistent link: https://www.econbiz.de/10010287074

Direct purchases of U.S. Treasury securities by Federal Reserve Banks

Garbade, Kenneth D. - 2014

Until 1935, Federal Reserve Banks from time to time purchased short-term securities directly from the United States Treasury to facilitate Treasury cash management operations. The authority to undertake such purchases provided a robust safety net that ensured Treasury could meet its obligations...

Persistent link: https://www.econbiz.de/10011340982

Beyond thirty: Treasury issuance of long-term bonds from 1953 to 1965

Garbade, Kenneth D. - 2017

Ever since the emergence of regular and predictable issuance of coupon-bearing Treasury debt in the 1970s, thirty years has marked the outer boundary of Treasury bond maturities. However, longer-term bonds were not unknown in earlier years. Seven such bonds, including one with a forty-year term,...

Persistent link: https://www.econbiz.de/10011796449

Anomalous bidding in short-term treasury bill auctions

Fleming, Michael J.; Garbade, Kenneth D.; Keane, Frank - 2004

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/10010283336

Why is the US Treasury contemplating becoming a lender of last resort for treasury securities?

Garbade, Kenneth D.; Kambhu, John E. - 2005

The U.S. Treasury announced in August 2005 that it is exploring whether to provide a backstop securities lending facility for U.S. Treasury securities. This paper examines the conceptual basis for such a facility by comparing the market for borrowing and lending Treasury securities to the market...

Persistent link: https://www.econbiz.de/10010283456

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