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Enhancing the liquidity of U.S. Treasury securities in an era of surpluses

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  • Kenneth Barbade
  • Paul Bennett
  • John Kambhu

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  • Kenneth Barbade & Paul Bennett & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
    • Handle: RePEc:fip:fednep:y:2000:i:apr:p:89-119:n:v.6no.1
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    References listed on IDEAS

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    1. Daves, Phillip R & Ehrhardt, Michael C, 1993. "Liquidity, Reconstitution, and the Value of U.S. Treasury Strips," Journal of Finance, American Finance Association, vol. 48(1), pages 315-329, March.
    2. Simpson, W. Gary & Ireland, Timothy C., 1985. "The Impact of Financial Futures on the Cash Market for Treasury Bills," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(3), pages 371-379, September.
    3. Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    4. Park, Sang Yong & Reinganum, Marc R., 1986. "The puzzling price behavior of treasury bills that mature at the turn of calendar months," Journal of Financial Economics, Elsevier, vol. 16(2), pages 267-283, June.
    5. Lippman, Steven A & McCall, John J, 1986. "An Operational Measure of Liquidity," American Economic Review, American Economic Association, vol. 76(1), pages 43-55, March.
    6. Amihud, Yakov & Mendelson, Haim & Lauterbach, Beni, 1997. "Market microstructure and securities values: Evidence from the Tel Aviv Stock Exchange," Journal of Financial Economics, Elsevier, vol. 45(3), pages 365-390, September.
    7. Harold Demsetz, 1968. "The Cost of Transacting," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 82(1), pages 33-53.
    8. Garbade, Kenneth D & Silber, William L, 1976. "Price Dispersion in the Government Securities Market," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 721-740, August.
    9. repec:bla:jfinan:v:53:y:1998:i:5:p:1533-1562 is not listed on IDEAS
    10. Ogden, Joseph P., 1987. "The End of the Month as a Preferred Habitat: A Test of Operational Efficiency in the Money Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 329-343, September.
    11. Duffie, Darrell, 1996. "Special Repo Rates," Journal of Finance, American Finance Association, vol. 51(2), pages 493-526, June.
    12. Warga, Arthur, 1992. "Bond Returns, Liquidity, and Missing Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 605-617, December.
    13. repec:bla:jfinan:v:44:y:1989:i:1:p:101-13 is not listed on IDEAS
    14. Michael J. Fleming, 2000. "The benchmark U.S. Treasury market: recent performance and possible alternatives," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 129-145.
    15. Simon, David P., 1991. "Segmentation in the Treasury Bill Market: Evidence from Cash Management Bills," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 97-108, March.
    16. Paul, Allen B. & Kahl, Kandice H. & Tomek, William G., 1981. "Performance of Futures Markets: The Case of Potatoes," Technical Bulletins 157682, United States Department of Agriculture, Economic Research Service.
    17. Kamara, Avraham, 1994. "Liquidity, Taxes, and Short-Term Treasury Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 403-417, September.
    18. Garbade, Kenneth D & Silber, William L, 1983. "Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts," The Journal of Business, University of Chicago Press, vol. 56(3), pages 249-272, July.
    19. Sarig, Oded & Warga, Arthur, 1989. "Bond Price Data and Bond Market Liquidity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(3), pages 367-378, September.
    20. N/A, 1996. "Note:," Foreign Trade Review, , vol. 31(1-2), pages 1-1, January.
    21. Kilcollin, Thomas Eric, 1982. "Difference Systems in Financial Futures Markets," Journal of Finance, American Finance Association, vol. 37(5), pages 1183-1197, December.
    22. Frank M. Keane, 1996. "Repo rate patterns for new Treasury notes," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 2(Sep).
    23. Tanner, J Ernest & Kochin, Levis A, 1971. "The Determinants of the Difference Between Bid and Ask Prices on Government Bonds," The Journal of Business, University of Chicago Press, vol. 44(4), pages 375-379, October.
    24. Kamara, Avraham & Siegel, Andrew F, 1987. "Optimal Hedging in Futures Markets with Multiple Delivery Specifications," Journal of Finance, American Finance Association, vol. 42(4), pages 1007-1021, September.
    25. Alex Kane & Alan J. Marcus, 1986. "The quality option in the treasury bond futures market: An empirical assessment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 231-248, June.
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    Cited by:

    1. Michael J. Fleming, 2002. "Are larger Treasury issues more liquid? Evidence from bill reopenings," Proceedings, Federal Reserve Bank of Cleveland, pages 707-739.
    2. Michael J. Fleming, 2001. "Financial market implications of the federal debt paydown," Staff Reports 120, Federal Reserve Bank of New York.
    3. Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
    4. Patricia S. Pollard, 2001. "The creation of the Euro and the role of the dollar in international markets," Review, Federal Reserve Bank of St. Louis, vol. 83(May), pages 17-36.
    5. Boris I. Alekhin, 2018. "Benchmarking Russian’ Government Bond Market," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 95-108, December.
    6. Kenneth D. Garbade & Matthew Rutherford, 2007. "Buybacks in Treasury cash and debt management," Staff Reports 304, Federal Reserve Bank of New York.

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