Michael J. Fleming |
|
Head of Capital Markets Studies |
||||
|
Dealer Capacity and U.S. Treasury Market Functionality
With Darrell Duffie, Frank M. Keane, Claire Nelson, Or Shachar, and Peter Van Tassel Federal Reserve Bank of New York Staff Reports 1070, August 2023, Revised October 2023 All-to-All Trading in the U.S. Treasury Market With Alain Chaboud, Ellen Correia Golay, Caren Cox, Yesol Huh, Frank M. Keane, Kyle Lee, Krista Schwarz, Clara Vega, and Carolyn Windover Federal Reserve Bank of New York Staff Reports 1036, October 2022, Revised November 2024 The Federal Reserve’s Market Functioning Purchases With Haoyang Liu, Rich Podjasek, and Jake Schurmeier Federal Reserve Bank of New York Staff Reports 998, December 2021 The Netting Efficiencies of Marketwide Central Clearing With Frank M. Keane Federal Reserve Bank of New York Staff Reports 964, April 2021 Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market With Giang Nguyen and Francisco Ruela Federal Reserve Bank of New York Staff Reports 886 , April 2019, Revised April 2022 The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data With Tobias Adrian and Erik Vogt Federal Reserve Bank of New York Staff Report 827, November 2017, Revised September 2022 Trading Activity in the Indian Government Bond Market With Seema Saggar and Samita Sareen Federal Reserve Bank of New York Staff Report 785, August 2016 ECB Monetary Operations and the Interbank Repo Market With Peter G. Dunne and Andrey Zholos Federal Reserve Bank of New York Staff Report 654, December 2013 The Microstructure of China’s Government Bond Market With Jennie Bai and Casidhe Horan Federal Reserve Bank of New York Staff Report 622, May 2013 An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting With John Jackson, Ada Li, Asani Sarkar, and Patricia Zobel Federal Reserve Bank of New York Staff Reports, No. 557,March 2012, Revised October 2012 An Analysis of CDS Transactions: Implications for Public Reporting With Kathryn Chen, John Jackson, Ada Li, and Asani Sarkar Federal Reserve Bank of New York Staff Reports, No. 517, September 2011 Monetary Policy Tick-by-Tick With Monika Piazzesi Working paper, August 2005 Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market With Jose A. Lopez Federal Reserve Bank of New York Staff Reports, No. 82, July 1999 The Term Structure of Announcement Effects With Eli M. Remolona Federal Reserve Bank of New York Staff Reports, No. 76, May 1999 Preserving Firm Value through Exit: The Case of Voluntary Liquidations With John J. Moon Federal Reserve Bank of New York Staff Reports, No. 8, December 1995 The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. |