This study investigates the demand for government securities by Kenyan banks using annual data from 2005 to 2022. Employing a fixed-effects panel regression model, the research examines the factors influencing banks' sovereign debt holdings and their implications for systemic risk. Key findings...

This article examines U.S. Treasury securities market functioning from the global financial crisis (GFC) through the Covid-19 pandemic given the ensuing market developments and associated policy responses. We describe the factors that have affected intermediaries, including regulatory changes,...

This study investigates the demand for government securities by Kenyan banks using annual data from 2005 to 2022. Employing a fixed-effects panel regression model, the research examines the factors influencing banks' sovereign debt holdings and their implications for systemic risk. Key findings...

The U.S. Treasury's recently introduced liquidity support buyback program offers a natural setting to evaluate whether providing a regular mechanism for selling less liquid off-the-run Treasury securities can enhance market liquidity. In this paper, I present a direct test of this mechanism and...

In response to rising global government debt, sovereign debt management offices (DMOs) are increasingly refining their issuance methods to optimize investor engagement and minimize borrowing costs. This paper evaluates the effectiveness of a two-stage Treasury auction design that incorporates a...

Ranaldo and Rossi (2016) presented data on the history of Swiss treasury bond auctions that covered the period from 1980, when the auction mechanism was implemented, to 2014. In this study, we extend the set of observations until 2023 and provide additional information for the entire sample. In...

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR,...

Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...

This paper studies how Treasury market dynamics depend on adjustments to the central bank balance sheet. We introduce a dynamic model of Treasury bonds with traditional and shadow banks. In the model, both Treasury and repo market disruptions arise as a joint consequence of three frictions: (i)...

This paper studies how Treasury market dynamics depend on adjustments to the central bank balance sheet. We introduce a dynamic model of Treasury bonds with traditional and shadow banks. In the model, both Treasury and repo market disruptions arise as a joint consequence of three frictions: (i)...

In this article, we study trading activity and liquidity of off-the-run U.S. Treasury securities. Off-the-run Treasuries are seasoned securities, account for about 98 percent of all Treasuries outstanding, and played a central role in the pandemic-fueled dash-for-cash in March 2020....

I consider a long-term outlook for the U.S. economy. My thesis is that the U.S. has moved from a deflationary regime to an inflationary regime. The shift is associated with China's emergence as a bona fide geopolitical rival to the U.S. and what this geopolitical event implies for the supply and...

This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan's tenure as Federal Reserve Chair, addressing the possible limitations of standard static regression (SSR) models, which may suffer from omitted...

The premium on "on-the-run" Treasuries (i.e. the most recently issued ones) is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. Primary dealers are more likely to hold large inventories of on-the-run Treasuries. There is also less variation across...

We build on recent developments in the theory of money and liquidity to provide a qualitative and quantitative explanation for the well-known TIPS illiquidity vis-'a-vis non-inflation-protected Treasuries. Our model does not assume exogenous differences between the markets where the two assets...

We exploit the Fed's Treasury purchases conducted from March 2020 to March 2022 to assess whether asset purchases can be tailored to accomplish different objectives: restoring market functioning and providing stimulus. We find that, on average, flow effects are significant in the...

The premium on "on-the-run" Treasuries (i.e. the most recently issued ones) is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. Primary dealers are more likely to hold large inventories of on-the-run Treasuries. There is also less variation across...

The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future developments in a changing financial landscape. This paper...

This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the euro area. Using proprietary data on purchases of public sector securities implemented by the Eurosystem, the paper examines the flow effects of asset purchase programmes on...

The yield on the 10-year U.S. Treasury Note is among the most cited interest rates by investors, policymakers, and fnancial institutions. We show that the 10-year Treasury yield's forward-looking volatility, a VIX-style measure that is a proxy for uncertainty about future interest rates, is a...