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Journal Article
Treasury financial operations
anonymous (1940-07)
Federal Reserve Bulletin , Issue Jul , Pages 633-638

Journal Article
Designing effective auctions for treasury securities
Bartolini, Leonardo; Cottarelli, Carlo (1997-07)
Most discussions of treasury auction design focus on the choice between two methods for issuing securities--uniform-price or discriminatory auctions. Although auction theory and much recent research appear to favor the uniform-price method, most countries conduct their treasury auctions using the discriminatory format. What are the main issues underlying the debate over effective auction design?
Current Issues in Economics and Finance , Volume 3 , Issue Jul

Report
Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets
Sarkar, Asani; Chakravarty, Sugato (1999)
We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and government bond markets for the years 1995 to 1997, based on newly available transactions data. Overall, we find that liquidity is an important determinant of the realized bid-ask spread in all three markets. Specifically, in all markets, the realized bid-ask spread decreases in the trading volume. Additionally, risk factors are important in the corporate and municipal markets. In these markets, the bid-ask spread increases in the remaining-time-to maturity of a bond. The corporate bond spread also ...
Staff Reports , Paper 73

Journal Article
Securities services programs continue to evolve
Fleming, Sharon (1992-01)
Financial Update , Issue Jan , Pages 4

Working Paper
Flow and stock effects of large-scale Treasury purchases
King, Thomas B.; D'Amico, Stefania (2010)
Using a panel of daily CUSIP-level data, we study the effects of the Federal Reserve's program to purchase $300 billion of U.S. Treasury coupon securities announced and implemented during 2009. This program represented an unprecedented intervention in the Treasury market and thus allows us to shed light on the price elasticities and substitutability of Treasuries, preferred-habitat theories of the term structure, and the ability of large-scale asset purchases to reduce overall yields and improve market functioning. We find that each purchase operation, on average, caused a decline in yields ...
Finance and Economics Discussion Series , Paper 2010-52

Working Paper
Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices
Wei, Min; Kim, Don H.; D'Amico, Stefania (2008)
We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~ 1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the ...
Finance and Economics Discussion Series , Paper 2008-30

Conference Paper
Federal Reserve asset acquisition: a proposal, panel discussion
Broaddus, Alfred; Goodfriend, Marvin (2002)
Proceedings

Journal Article
Features and risks of Treasury Inflation Protection Securities
Shen, Pu (1998-01)
In 1997, the U.S. Treasury began the quarterly issuance of inflation indexed bonds, called Treasury Inflation Protection Securities (TIPS). So far, the Treasury has issued both 5-year and 10-year indexed bonds and will begin to issue 30-year indexed bonds and inflation indexed savings bonds in 1998. TIPS differ from conventional Treasury bonds in both their payment flows and risks. With virtually no inflation risk, they are the safest assets currently available in the U.S. market. Combined with conventional Treasury bonds, they allow investors to separate inflation risk from real interest ...
Economic Review , Volume 83 , Issue Q I , Pages 23-38

Working Paper
Fiscal positions and government bond yields in OECD countries
Kamin, Steven B.; Gruber, Joseph W. (2010)
We examine the impact of fiscal positions, both the level of debt and the fiscal balance, on long-term government bond yields in the OECD. In order to control for the endogenity of fiscal positions to the business cycle we utilize forward projections of fiscal positions from the OECD's Economic Outlook. In a panel regression over the period from 1988 to 2007, we find a robust and significant effect of fiscal performance on long-term bond yields. Our estimates imply that the marginal effect of the projected deterioration of fiscal positions associated with the recent financial crisis is to add ...
International Finance Discussion Papers , Paper 1011

Report
Why is the U.S. Treasury contemplating becoming a lender of last resort for Treasury securities?
Kambhu, John; Garbade, Kenneth D. (2005)
The U.S. Treasury announced in August 2005 that it is exploring whether to provide a backstop securities lending facility for U.S. Treasury securities. This paper examines the conceptual basis for such a facility by analogizing the market for borrowing and lending Treasury securities with the market for borrowing and lending money prior to the founding of the Federal Reserve System in 1914. An inelastic supply of currency in the nineteenth century led to periodic suspensions of convertibility of bank deposits; Congress authorized a system of Federal Reserve Banks to address the problem. A ...
Staff Reports , Paper 223

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