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Keywords:Government securities 

Journal Article
An analysis of potential Treasury auction techniques

Federal Reserve Bulletin , Issue Jun

Journal Article
The benchmark U.S. Treasury market: recent performance and possible alternatives

Economic Policy Review , Issue Apr , Pages 129-145

Working Paper
A monetary policy rule based on nominal and inflation-indexed Treasury yields

The yields on nominal and inflation-indexed Treasury debt securities can be used to derive a proxy for the inflation expectations of market participants. This paper investigates whether such a measure has provided a useful guide for monetary policy decisions by the Federal Reserve. The results indicate that since 1999, U.S. monetary policy decisions can be effectively characterized by a simple policy rule in which changes in the federal funds rate respond to the forward rate of inflation compensation.
Finance and Economics Discussion Series , Paper 2003-07

Journal Article
Estimating the macroeconomic effects of the Fed’s asset purchases

An analysis shows that the Federal Reserve?s large-scale asset purchases have been effective at reducing the economic costs of the zero lower bound on interest rates. Model simulations indicate that, by 2012, the past and projected expansion of the Fed?s securities holdings since late 2008 will lower the unemployment rate by 1 percentage points relative to what it would have been absent the purchases. The asset purchases also have probably prevented the U.S. economy from falling into deflation.
FRBSF Economic Letter

Journal Article
Going, going, gone: setting prices with auctions

Business Review , Issue Mar , Pages 3-13

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

Economic Policy Review , Issue Apr , Pages 89-119

Journal Article
Strengthening the case for the yield curve as a predictor of U.S. recessions

Past experience has led financial market participants to believe that future interest rates will be closely related to the performance of the economy. If so, the shape of the yield curve ought to summarize the implicit economic forecasts of a broad range of bond traders. Previous research has demonstrated that, relative to carefully tailored forecasting variables such as the index of leading indicators, the yield curve is an excellent predictor of recessions. In this article, Michael Dueker shows that the predictive power of the yield curve does not diminish when examined in the context of ...
Review , Issue Mar , Pages 41-51

Journal Article
The round-the-clock market for U.S. Treasury securities

U.S. Treasury securities are traded in London and Tokyo as well as in New York, creating a virtual round-the-clock market. The author describes that market by examining trading volume, price volatility, and bid-ask spreads over the global trading day. He finds that trading volume and price volatility are highly concentrated in New York trading hours. Bid-ask spreads are found to be wider overseas than in New York and wider in Tokyo than in London. Despite the lower liquidity of the overseas locations, the author finds that overseas price changes in U.S. Treasury securities are unbiased ...
Economic Policy Review , Volume 3 , Issue Jul , Pages 9-32

Journal Article
Why are TIIS yields so high? The case of the missing inflation-risk premium

Treasury inflation-indexed securities are just like nominal Treasuries, except that their coupon and principal payments are indexed to inflation. The yield spread between the two types of securities should serve as a daily measurement of the market's perception of expected inflation, modified to reflect the cost of inflationary risk. But TIIS yields are about 60 basis points higher than expected. This Commentary examines several factors other than inflation that might raise TIIS yields relative to nominal Treasuries.
Economic Commentary , Issue Mar

Journal Article
War loan drive and the money market

Federal Reserve Bulletin , Issue May , Pages 369-377

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