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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
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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
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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/10010222894
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Minimum Price Increment, Competition for Liquidity Provision, and Price Discovery
Fleming, Michael J.; Nguyen, Giang; Ruela, Francisco - 2021
depth, and improved price efficiency.Moreover, slow traders become more competitive in liquidity provision and price …
Persistent link: https://www.econbiz.de/10013244513
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Order flow segmentation and the role of dark trading in the price discovery of U.S. treasury securities
Fleming, Michael J.; Nguyen, Giang H. - 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/10009781862
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ECB Monetary Operations and the Interbank Repo Market
Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - Central Bank of Ireland - 2014
We examine the relationship between monetary policy operations and interbank trading of funds using sovereign bonds as collateral. We first establish that, in the pre-crisis period, there are important but rather weak relations between these funding sources and that this relationship varies...
Persistent link: https://www.econbiz.de/10010959445
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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
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How do treasury dealers manage their positions?
Fleming, Michael J.; Rosenberg, Joshua V. - 2007
Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase...
Persistent link: https://www.econbiz.de/10010283387
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How do Treasury Dealers Manage their Positions?
Fleming, Michael J. - 2007
Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during...
Persistent link: https://www.econbiz.de/10012730433
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How Do Treasury Dealers Manage Their Positions?
Fleming, Michael J. - 2010
Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets. Using a micro data set of individual corporate loans, this paper explores whether use of credit derivatives is associated with an increase in bank credit supply. We find evidence...
Persistent link: https://www.econbiz.de/10012717172