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Journal Article
The benchmark U.S. Treasury market: recent performance and possible alternatives
Fleming, Michael J. (2000-04)
Economic Policy Review , Issue Apr , Pages 129-145

Working Paper
Treasury bill rates in the 1970s and 1980s
Peek, Joe; Hendershott, Patric H. (1991)
As is widely recognized, real interest rates in the early 1980s were at peaks not witnessed since the late 1920s. Less well perceived is the sharp decline in real interest rates in the middle 1980s to their average levels of the previous quarter century. This paper seeks to identify the underlying determinants of the major movements in real six-month Treasury bill rates. The primary innovation is the development of a new monetary policy proxy that explains much of the real rate movement in the 1980s.
Working Papers , Paper 91-6

Journal Article
Enhancing the liquidity of U.S. Treasury securities in an era of surpluses
Kambhu, John; Barbade, Kenneth; Bennett, Paul (2000-04)
Economic Policy Review , Issue Apr , Pages 89-119

Journal Article
The round-the-clock market for U.S. Treasury securities
Fleming, Michael J. (1997-07)
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
Liquidity effects in the bond market
Jovanovic, Boyan; Rousseau, Peter L. (2001-10)
The authors find that supply risk in the market for Treasury bills adds between 10 basis points and 40 basis points to the standard deviation of the T-bill interest rate. The risk will probably increase unless the Fed expands the set of assets that it uses to conduct open market operations.
Economic Perspectives , Volume 25 , Issue Q IV , Pages 17-35

Journal Article
The Treasury securities market: overview and recent development
Sack, Brian P.; Dupont, Dominique (1999-12)
The market for U.S. Treasury securities is by many measures the largest, most active debt market in the world, and the securities play a pivotal role in world financial markets. The market has evolved over time in keeping with the changing needs of both the Treasury and investors. After describing the market's structure and examining the factors driving the demand for Treasury securities in some detail, this article discusses recent developments, including the introduction of inflation-indexed securities and a decline in the issuance of Treasury securities.
Federal Reserve Bulletin , Issue Dec

Journal Article
What certificates pay
Judd, John P. (1978)
FRBSF Economic Letter

Working Paper
Macroeconomic risk and Treasury bill pricing: an application of the Factor-Arch model
Sill, Keith (1993)
Working Papers , Paper 93-25

Conference Paper
Are larger Treasury issues more liquid? Evidence from bill reopenings
Fleming, Michael J. (2002)
Proceedings

Monograph
Instruments of the money market
Cook, Timothy Q.; LaRoche, Robert K. (1993)
Monograph

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