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Discussion Paper
Assessing the Price Impact of Treasury Market Workups
The price impact of a trade derives largely from its information content. The “workup” mechanism, a trading protocol used in the U.S. Treasury securities market, is designed to mitigate the instantaneous price impact of a trade by allowing market participants to trade additional quantities of a security after a buyer and seller first agree on its price. Nevertheless, workup trades are not necessarily free of information. In this post, we assess the role of workups in price discovery, following our recent paper in the Review of Asset Pricing Studies (an earlier version of which was ...
Discussion Paper
Price Impact of Trades and Orders in the U.S. Treasury Securities Market
It’s long been known that asset prices respond not only to public information, such as macroeconomic announcements, but also to private information revealed through trading. More recently, with the growth of high-frequency trading, academics have argued that limit orders—orders to buy or sell a security at a specific price or better—also contain information. In this post, we examine the information content of trades and limit orders in the U.S. Treasury securities market, following this paper, recently published in the Journal of Financial Markets and earlier as a New York Fed staff ...
Discussion Paper
How Liquid Has the Treasury Market Been in 2022?
Policymakers and market participants are closely watching liquidity conditions in the U.S. Treasury securities market. Such conditions matter because liquidity is crucial to the many important uses of Treasury securities in financial markets. But just how liquid has the market been and how unusual is the liquidity given the higher-than-usual volatility? In this post, we assess the recent evolution of Treasury market liquidity and its relationship with price volatility and find that while the market has been less liquid in 2022, it has not been unusually illiquid after accounting for the high ...
Speech
Collaboration Toward Increased Resilience of the Treasury Market
Remarks at ISDA/SIFMA AMG Derivatives Trading Forum New York: The Path to Resilient Treasury Markets, New York City.
Speech
Disentangling Messages from the Treasury Market
Remarks at 2023 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Report
Market liquidity after the financial crisis
This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers? ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential effects on dealer balance sheets and market making, but also considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis of 2007-09, which occurred concurrently with dealer balance sheet deleveraging. However, using high-frequency trade ...
Speech
Gradual and predictable: reducing the size of the Federal Reserve’s balance sheet: remarks at SUERF – The European Money and Finance Forum, New York City
Remarks at SUERF ? The European Money and Finance Forum, New York City.
Speech
A Jack of All Trades Is a Master of None
Remarks at the 2022 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Speech
The Important Role of the Foreign Investor in the U.S. Treasury Market
Remarks at 2023 U.S. Treasury Market Conference, Federal Reserve Bank of New York, New York City.
Discussion Paper
Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
In a 2014 post, we described what settlement fails are, why they arise and matter, and how they can be measured. A subsequent post explored the determinants of the increased volume of U.S. Treasury security settlement fails in June 2014. Part of that episode reflected a steady increase in settlement fails of seasoned securities. In this post, we explore the characteristics of seasoned fails in recent years, in order to better understand the risks associated with such fails.