This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-,three-, five-, ten-, and thirty-year Treasury securities, we...

This paper assesses the microstructure of the U.S. Treasury securities market, using newly available tick data from the BrokerTec electronic trading platform. Examining trading activity, bid-ask spreads, and depth for on-the-run two-, three-, five-, ten-, and thirty-year Treasury securities, we...

We assess the microstructure of the U.S. Treasury securities market following its migration to electronic trading. We model price discovery using a vector autoregression model of price and order flow. We show that both trades and limit orders affect price dynamics, suggesting that traders also...

This paper examines the Federal Reserve's unprecedented liquidity provision during the financial crisis of 2007-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded liquidity facilities were intended to enable the central bank to...

[...]This article adds to the literature by estimating andevaluating a comprehensive set of liquidity measures for theU.S. Treasury securities market. High-frequency data from theinterdealer market allow for an analysis of trading volume,trading frequency, bid-ask spreads, quote sizes, trade...

[...]This article describes the institutional and economic settingof the fails problem and suggests why that problem led policymakers to depart so significantly from previous debtmanagement practices. The next section sets the stage byreviewing how investors establish beneficial ownership...