Similar Search Results

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 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/10010333597

Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities

Fleming, Michael; Nguyen, Giang - 2013

a mechanism for discovering dark liquidity. We quantify its role in the price formation process in a model of the … dynamics of price and segmented order flow induced by the protocol. We find that the dark liquidity pool generally contains … liquidity providers to guard against adverse price movements than as a channel to hide private information. …

Persistent link: https://www.econbiz.de/10010333609

Are larger treasury issues more liquid? Evidence from bill reopenings

Fleming, Michael J. - 2002

Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then … given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The … liquidity benefits of reopenings are more than offset by the direct supply costs. …

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

Large-scale asset purchases by the Federal Reserve: Did they work?

Gagnon, Joseph; Raskin, Matthew; Remache, Julie; Sack, Brian - 2010

Since December 2008, the Federal Reserve's traditional policy instrument, the target federal funds rate, has been effectively at its lower bound of zero. In order to further ease the stance of monetary policy as the economic outlook deteriorated, the Federal Reserve purchased substantial...

Persistent link: https://www.econbiz.de/10010287156

Asset price effects of peer benchmarking: Evidence from a natural experiment

Acharya, Sushant; Pedraza, Alvaro - 2015

We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a natural experiment involving a change in a government-imposed...

Persistent link: https://www.econbiz.de/10011341019

The microstructure of China's government bond market

Bai, Jennie; Fleming, Michael; Horan, Casidhe - 2013

Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...

Persistent link: https://www.econbiz.de/10010333607

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

Trading risk and volatility in interest rate swap spreads

Kambhu, John - 2004

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this relationship in the behavior of interest rate swap spreads and in the volume and interest rates of repurchase contracts. Specifically, we focus on convergence trading, in which...

Persistent link: https://www.econbiz.de/10010283368

Inference, arbitrage, and asset price volatility

Adrian, Tobias - 2004

Does the presence of arbitrageurs decrease equilibrium asset price volatility? I study an economy with arbitrageurs, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy assets in response to temporary price declines (the...

Persistent link: https://www.econbiz.de/10010283435

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

1
2
3
4
5
6
7
8
9
10
Next
Last