We study the impact of outright (i.e., permanent) open market operations (POMOs) by the Federal Reserve Bank of New York (FRBNY) on the microstructure of the secondary U.S. Treasury market. POMOs are trades in U.S. Treasury securities aimed at accomplishing the Federal Reserve's target level of...

Canonical theories of trading assume that financial asset payoffs are linear in their fundamentals.This study argues that the nonlinearity of equity and corporate bond payoffs (by virtue of their issuer’s solvency) has novel, important effects on their price formation. We show that informed...

We study the role played by private and public information in the process of price formation in the U.S. Treasury bond market. To guide our analysis, we develop a parsimonious model of speculative trading in the presence of two realistic market frictions -- information heterogeneity and...