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Book(print)#21999
Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the US treasury market
In: Working papers in applied economic theory 99,09
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Article(electronic)#32024
Has Treasury Market Liquidity Improved in 2024?
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Article(electronic)#42023
How Has Treasury Market Liquidity Evolved in 2023?
In: Liberty Street Economics
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Article(electronic)#5
The Round-the-Clock Market for U.S. Treasury Securities
In: Economic Policy Review, Volume 3, Issue 2
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Article(electronic)#62013
Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market
In: Review of Asset Pricing Studies, 9(2), 256-295.
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Article(electronic)#82024
End‑Of‑Month Liquidity in the Treasury Market
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Article(electronic)#102019
Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market
In: FRB of New York Staff Report No. 886 (2019), Rev. April 2022
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Article(electronic)#112017
The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data
In: FRB of NY Staff Report No. 827, Rev. January 2023
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Article(electronic)#122017
The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform
In: Journal of Financial Markets, Volume 40, Issue September
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Open Access#132016
Trading activity in the Indian government bond market
We study how the Indian government bond market functions, how it has changed over time, and what factors help explain some of its features. Looking at the primary market, we describe how underwriting obligations are allocated to primary dealers via auction and identify several significant determinants of the underwriting commission cutoff rate, including the launch of the Negotiated Dealing System-Order Matching System (NDS-OM) electronic trading platform. Turning to the secondary market, we explore the importance of benchmark bonds, the launch of NDS-OM, the growth in trading activity, and the migration of activity from the over-the-counter (OTC) market to NDS-OM. We find that benchmark bonds, larger issues, and recently issued bonds tend to trade more actively, but that the launch of NDS-OM is associated with a reduced likelihood of a bond trading but greater trading volume conditional on trading. Benchmark bonds, larger issues, and recently issued bonds are associated with a greater share of NDS-OM trading volume (as opposed to OTC trading volume), suggesting that the NDS-OM platform is especially attractive for trading bonds with benchmark attributes.
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Article(electronic)#142017
Market Liquidity after the Financial Crisis
In: CEPR Discussion Paper No. DP12248
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Article(electronic)#152016
Market Liquidity after the Financial Crisis
In: FRB of NY Staff Report No. 796
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