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Displaying results 1 to 11 of 11.

  1. Are larger treasury issues more liquid?
    Evidence from bill reopenings
    Published: 6 Mar. 2002
    Publisher:  Federal Reserve Bank of New York, New York, NY

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1140 (145)
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60564
    Edition: [Elektronische Ressource]
    Series: [Staff reports / Federal Reserve Bank of New York ; 145]
    Subjects: Staatspapier; Fälligkeit; Liquidität; Handelsvolumen der Börse; Geld-Brief-Spanne; USA; Treasury bills
    Scope: Online Ressource, 27, [12] p., text, ill
    Notes:

    Gesamttitel von der Homepage
  2. Price discovery in a market under stress
    the u.s. treasury market in fall 1998
    Published: 2005
    Publisher:  Federal Reserve Bank of Chicago, Chicago, Ill.

    "We analyze how price discovery in the inter-dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 88 (2005.06)
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    "We analyze how price discovery in the inter-dealer market for U.S. Treasury securities differs between stressful times and normal periods. Using tick-by-tick data on inter-dealer transactions in the on-the- run two-year, five-year and 10-year Treasury notes, we find that the impact of trades on prices tends to become significantly stronger on stressful days. This effect remains after accounting for the faster trading, wider spreads, and shallower depth observed on stressful days"--Federal Reserve Bank of Chicago web site

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Federal Reserve Bank of Chicago ; 2005-06
    Subjects: Geldmarkt; USA; Finanzkrise; Government securities; Treasury bills
    Scope: Online-Ressource, 40, [7] p., text, ill
    Notes:

    Title from PDF file as viewed on 10/22/2005

    Includes bibliographical references

    Also available in print
  3. Forecasting time series subject to multiple structural breaks
    Author: Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan
    Published: 2004
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (4636)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 4636
    Subjects: Prognoseverfahren; Zeitreihenanalyse; Strukturbruch; Theorie; Treasury bills
    Scope: 38 S, graph. Darst
  4. Two case studies on electronic distribution of government securities
    the U.S. TreasuryDirect system ; the Philippine expanded small investors program
    Author: Glaessner, Thomas C.; Kantur, Zeynep
    Published: 2004
    Publisher:  World Bank, Financial Sect. Operations and Policy Dep., Washington, DC

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Signature:
    6 B 59019
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    Unlimited inter-library loan, copies and loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 480 (3372)
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Policy research working paper ; 3372
    Subjects: Elektronisches Handelssystem; Öffentliche Anleihe; USA; Treasury Direct (Computer system); Treasury bills; Government securities; Government securities
    Scope: 45 S, graph. Darst
    Notes:

    Richtiger Name des Verf.: Thomas C. Glaesner
  5. Anomalous bidding in short-term treasury bill auctions
    Published: May 2004
    Publisher:  Federal Reserve Bank of New York, New York, NY

    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... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 1140 (184)
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 207 (184)
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    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 bidding at a rate other than the minimum is related to a quantity shortfall rather than an unexploited profit opportunity. Auction results for weekly offerings of four-week bills and occasional offerings of cash management bills show that market participants frequently bid at inefficient rates. However, they are more likely to bid at efficient rates than chance would suggest.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/60560
    Edition: [Elektronische Ressource]
    Series: Staff reports / Federal Reserve Bank of New York ; 184
    Subjects: Staatspapier; Auktion; Treasury bills; Government securities; Rate of return
    Scope: Online Ressource (PDF-Datei: 19 S., 226 KB), graph. Darst.
    Notes:

    Record-last-verified: 27-05-05
  6. Two case studies on electronic distribution of government securities
    the U.S. TreasuryDirect system ; the Philippine expanded small investors program
    Author: Glaessner, Thomas C.; Kantur, Zeynep
    Published: 2004
    Publisher:  World Bank, Financial Sect. Operations and Policy Dep., Washington, DC

    Location:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Policy research working paper ; 3372
    Subjects: Elektronisches Handelssystem; Öffentliche Anleihe; USA; Treasury Direct (Computer system); Treasury bills; Government securities; Government securities
    Scope: 45 S, graph. Darst
    Notes:

    Richtiger Name des Verf.: Thomas C. Glaesner
  7. The dynamic relationship between the federal funds rate and the treasury bill rate
    an empirical investigation
    Author: Sarno, Lucio
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (3225)
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    Location:
    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
    Signature:
    wrc 10.06:i/d55-3225
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    Location:
    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3225
    Subjects: Geldmarkt; Staatspapier; Zins; Zinsstruktur; USA; Federal funds market (United States); Treasury bills; Interest rates
    Scope: 30 S., graph. Darst.
    Notes:

    Includes bibliographical references
  8. Bank deposit flows to money market funds and ON RRP usage during monetary policy tightening
    Author: Morgan, Luke; Sarver, Anthony; Tase, Manjola; Zlate, Andrei
    Published: July 2022
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 412
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Finance and economics discussion series ; 2022, 060
    Subjects: Monetary policy tightening; bank deposits; money market funds; overnight reverserepo facility; private repo funding; Treasury bills
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  9. The market for short-term debt securities in Europe
    what we know and what we do not know
    Author: Darpeix, Pierre-Emmanuel
    Published: [2022]
    Publisher:  ESRB, European Systemic Risk Board, European System of Financial Supervision, Frankfurt am Main, Germany

    In March 2020, against the backdrop of a worsening Covid crisis, some segments of the money market fund (MMF) industry faced severe redemption pressures. Given their central role within the short term funding market, MMFs were at the heart of... more

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 612
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    In March 2020, against the backdrop of a worsening Covid crisis, some segments of the money market fund (MMF) industry faced severe redemption pressures. Given their central role within the short term funding market, MMFs were at the heart of financial stability concerns, and legitimately underwent careful reviews by macroprudential bodies and market supervisors to assess their vulnerabilities and propose policy options to remediate them. Yet it is clear that MMFs are only one part of a wider ecosystem. These funds collect excess cash from some economic agents, which is predominantly invested in the markets for short-term debt securities, thus providing funding to a wide array of entities in need for short-term funding (banks, non-financial corporates, States, local governments, etc.). And clearly, beyond funds, vulnerabilities were also identified both on the underlying market and on the investors' side. In order to complement the recommendations issued in January 2022 by the ESRB ahead of the scheduled revision of the MMF Regulation, and so as to provide a better understanding of vulnerabilities still widely unaddressed, the AMF conducted a stock-take analysis of the public information available on the very fragmented and opaque market for short-term debt instruments in Europe. Thanks to a fruitful collaboration with ESRB who shared internal databases, it was able to fill in some data gaps and provide new insights on this market. In particular, this stock-take gives the first comprehensive and consolidated estimate of the outstanding in question (more than EUR 2.2 trillion as of Dec.2020), with a breakdown according to issuer types, instrument types and currencies. The analysis highlights the still unaddressed vulnerabilities such as the fragmentation of the market and of its supervision as well as the lack of a robust identification of Euro-CP and emphasizes the lack of transparency in the secondary market operations.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789294722669
    Other identifier:
    hdl: 10419/278233
    Series: Occasional paper series / European Systemic Risk Board ; no 21 (October 2022)
    Subjects: Short term funding market; Commercial paper; Certificates of deposit; Treasury bills; STEP; NEU-CP; Euro-CP
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  10. Auction performance, strategic supply management, and bidder behavior in treasury bill auctions
    evidence from the Philippines
    Author: Mariño, Eduardo Anthony G.; Marszalec, Daniel
    Published: [2020]
    Publisher:  CIRJE, Faculty of Economics, University of Tokyo, [Tokyo]

    Access:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 358
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised in September 2020
    Series: Array ; CIRJE-F-1138
    Subjects: auctions; discriminatory auction; uniform-price auction; Treasury bills; active supply management; quantity restriction
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  11. The effectiveness of the Treasury Bill as an instrument of monetary policy in Uganda
    Author: Atingi-Ego, Michael; Rwebeyanga, Winnie
    Published: 1998

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    C 220656
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: Research series / EPRC ; 6
    Subjects: Staatspapier; Geldpolitik; Uganda; Monetary policy; Treasury bills
    Scope: 30 S, graph. Darst