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Displaying results 1 to 9 of 9.

  1. The effects of volatility on liquidity in the treasury market
    Author: Meldrum, Andrew; Sokolinskiy, Oleg
    Published: April 27, 2023
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 412
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Finance and economics discussion series ; 2023, 028
    Subjects: liquidity; Treasury market; market depth; volatility; order execution; hidden Markov model
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  2. Risks and risk premia in the US treasury market
    Author: Li, Junye; Sarno, Lucio; Zinna, Gabriele
    Published: 09 November 2023
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18592
    Subjects: Treasury market; risk-return trade-off; term structure models; bond risk premium; macro risk
    Scope: 1 Online-Ressource (circa 114 Seiten), Illustrationen
  3. Dealer capacity and US treasury market functionality
    Author: Duffie, Darrell; Fleming, Michael J.; Keane, Frank; Nelson, Claire; Shachar, Or; Van Tassel, Peter
    Published: October 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 1138
    Subjects: Treasury market; liquidity; volatility; dealer intermediation; value-at-risk
    Scope: 1 Online-Ressource (circa 87 Seiten), Illustrationen
  4. Dealer capacity and U.S. treasury market functionality
    Author: Duffie, Darrell; Fleming, Michael J.; Keane, Frank; Nelson, Claire; Shachar, Or; Van Tassel, Peter
    Published: [2023]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market... more

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    DS 207
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    We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284030
    Edition: Revised October 2023
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1070 (August 2023)
    Subjects: Treasury market; liquidity; volatility; dealer intermediation; value-at-risk
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  5. Investment funds and financial stability
    policy considerations
    Contributor: Garcia Pascual, Antonio (HerausgeberIn); Singh, Ranjit A. (HerausgeberIn); Surti, Jay (HerausgeberIn)
    Published: 2021
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard... more

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard setters. In this context, the global nature of the investment fund business and fungibility of financial flows makes it vital to ensure consistency of global policy choices that can secure financial stability by precluding regulatory arbitrage

     
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  6. Bond market intermediation and the role of repo
    Author: Huh, Yesol; Infante, Sebastian
    Published: January 2017
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

    This paper models the important role that repurchase agreements (repos) play in bond market intermediation. Not only do repos allow dealers to finance their activities, but they also increase dealers' ability to satisfy levered client demands without... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    This paper models the important role that repurchase agreements (repos) play in bond market intermediation. Not only do repos allow dealers to finance their activities, but they also increase dealers' ability to satisfy levered client demands without having to adjust their holdings of risky assets. In effect, the ability to borrow specific assets for delivery allows dealers to source large quantity of assets without taking ownership of them. Larger levered client orders imply larger asset borrowing demands, thus increasing the borrowing cost for the asset (i.e., repo specialness). Dealers pass on the higher intermediation cost to their clients in the form of higher bid-ask spreads. Although this method of intermediation is optimal, the use of repos significantly increases dealers' balance sheets. Limiting one dealer's balance sheet leverage, leaving all else equal, reduces the affected dealer's market making abilities and increases his bid-ask spreads. The equilibrium effect of limiting all dealers' balance sheet leverage on bid-ask spreads is unclear, and depends on the intensity of clients' demand and securities lenders' sensitivity to repo specialness

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2017, 003
    FEDS Working Paper ; No. 2017-003
    Subjects: Market liquidity; Financial services and intermediation; Repo; Specialness; U.S; Treasury market
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  7. Investment funds and financial stability
    policy considerations
    Contributor: Garcia Pascual, Antonio (HerausgeberIn); Singh, Ranjit A. (HerausgeberIn); Surti, Jay (HerausgeberIn)
    Published: 2021
    Publisher:  International Monetary Fund, Publication Services, Washington, DC, U.S.A.

    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard... more

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    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Erfurt / Forschungsbibliothek Gotha, Universitätsbibliothek Erfurt
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    Bibliothek der Pädagogischen Hochschule Freiburg/Breisgau
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Technische Universität Hamburg, Universitätsbibliothek
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Thüringer Universitäts- und Landesbibliothek
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    Fachhochschule Kiel, Zentralbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Leipzig
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    E-Book International Monetary Fund
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    Hochschulbibliothek Pforzheim, Bereichsbibliothek Technik und Wirtschaft
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    e-Book International Monetary Fund eLibrary
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    The paper's analysis underscores the importance of the ongoing Financial Stability Board-led process of identifying policy options, involving national authorities and the International Organization of Securities Commissions and other standard setters. In this context, the global nature of the investment fund business and fungibility of financial flows makes it vital to ensure consistency of global policy choices that can secure financial stability by precluding regulatory arbitrage

     
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  8. Foreign reserve management and U.S. money market liquidity
    a cost of exorbitant privilege
    Author: Alquist, Ron; Kahn, R. Jay; Stedman, Karlye Dilts
    Published: [2022]
    Publisher:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 359
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: KcFED research working papers ; RWP 22, 08 (September 2022)
    Subjects: Treasury market; repurchase agreements; market liquidity; exorbitant privilege; exchangerate peg
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  9. All-to-all trading in the U.S. treasury market
    Author: Chaboud, Alain; Correia Golay, Ellen; Cox, Caren; Fleming, Michael J.; Huh, Yesol; Keane, Frank; Lee, Kyle; Schwarz, Krista; Vega, Clara; Windover, Carolyn
    Published: [2022]
    Publisher:  Federal Reserve Bank of New York, New York, NY

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/272849
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1036 (October 2022)
    Subjects: Treasury market; market structure; all-to-all
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen