Search Results - subject_exact:"Staatspapier"

The effects of increased Korea Treasury Bond issuance on the yield curve

Kim, Meeroo; Hong, Jong Soo - 2026

This study examines the impact of the sharp increase in Korea Treasury Bond (KTB) issuance following the COVID-19 crisis and analyzes the effects of bond buybacks as a policy countermeasure. Using a dynamic Nelson-Siegel model with macroeconomic factors, we estimate the effects of changes in the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654796

Will central clearing change the market structure of U.S. Treasury repo to become more standardized and trade on an all-to-all basis?

Patel, Ketan - 2026

This paper examines whether the SEC's mandate for central clearing of U.S. Treasury repo transactions could enable all-to-all trading and support the development of a standardized term repo market. By mitigating counterparty risk through central clearing, cash lenders may become more willing to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611478

The financial architecture of stablecoins : a primer

Farina, Tatiana; Franke, Günter; Heider, Florian; … - 2026

This SAFE White Paper presents a structured economic framework for assessing asset-backed stablecoins in their capacity as privately issued, fiscally anchored monetary instruments. Specifically, we evaluate the implications of stablecoins for financial intermediation, sovereign debt markets, and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615344

The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605573

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The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Book / Working Paper

The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

We study the spillovers of large-scale asset purchases (LSAPs) in the U.S. on financial intermediation in the euro area using bank-level supervisory data and high-frequency identified policy surprises. Our detailed panel data permit us to trace the impact of LSAPs through bank balance sheets. We...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592007

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The spillovers of LSAPs on banks in the euro area

Graziano, Marco; Koechlin, Marius; Tischbirek, Andreas - 2026

Book / Working Paper

The causal effect of debt on interest rates

Bhatt, Abhik; Diercks, Anthony M.; Eyal, Benjamin; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653194

How to sell debt (but not money)

Daripa, Arupratan - 2026

Multi-unit common value auctions in which bidders submit demand functions are used for a variety of purposes, including selling government debt (Treasury auctions) and allocating liquidity (repo auctions). Typically, either a discriminatory or a uniform-price format is used. In this paper, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636907

Treasury supply shocks: propagation through debt expansion and maturity adjustment

Bi, Huixin; Phillot, Maxime; Zubairy, Sarah - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015636951

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Treasury Supply Shocks : Propagation Through Debt Expansion and Maturity Adjustment

Bi, Huixin; Phillot, Maxime; Zubairy, Sarah - 2026

Book / Working Paper

Treasury Supply Shocks : Propagation Through Debt Expansion and Maturity Adjustment

Bi, Huixin; Phillot, Maxime; Zubairy, Sarah - 2026

Historically high debt-to-GDP levels in the U.S. have raised concerns about future financial market stability and fiscal sustainability. We use high-frequency data and consider Treasury futures price changes within narrow windows around auction announcements in order to identify two distinct...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639419

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Treasury supply shocks: propagation through debt expansion and maturity adjustment

Bi, Huixin; Phillot, Maxime; Zubairy, Sarah - 2026

Book / Working Paper

The monetary "black box" in India revisited : nonlinear transmission across yield regimes

Mostafa, Husam; Arumugasamy, Duraisamy; Ashokan, Nisha - 2026

This study re-examines the monetary "black box" in India by investigating whether monetary-policy transmission is state-dependent across different interest-rate environments. Using quarterly data spanning 1993Q1-2024Q2, it constructs a Taylor rule-based monetary-policy shock to mitigate the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015671979

Open-ended treasury purchases : from market functioning to financial easing

D'Amico, Stefania; Gillet, Max; Schulhofer-Wohl, Sam; … - 2026

We assess whether the Fed's asset purchases can be tailored to either restore market functioning or provide economic stimulus. When the communicated goal is restoring market functioning and purchases' implementation is flexible, flow effects are significant: relative price deviations narrow....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614721

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Open-ended treasury purchases : from market functioning to financial easing

D'Amico, Stefania; Gillet, Max; Schulhofer-Wohl, Sam; … - 2024

Book / Working Paper

When long-run trends are unknown : bond pricing implications

Ahonon, Borel; Roussellet, Guillaume - 2026

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618078

Intraday price pressure and order flow around U.S. Treasury auctions

Fleming, Michael J.; Liu, Weiling; Nguyen, Giang H. - 2026 - Revised July 2026

Using 33 years of intraday Treasury data, we provide the first high-frequency evidence on auction-day price pressure: yields rise in the hours before auction and reverse afterward. This pressure strengthens when dealers face tighter risk-bearing constraints and weakens when investor demand is...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618080

Duration rotation in U.S. Treasury fixed-income ETFs : evidence for a "Median" strategy

Malhotra, Aishwarya; Puppala, Saiteja; Pinsky, Eugene - 2026

We examine a simple duration-rotation strategy applied to six U.S. Treasury ETFs spanning the full maturity spectrum, using data from 2007 to 2025. At each semi-annual rebalancing date, ETFs are ranked by prior-period return and divided into three equal groups-Winners, Median, and Losers....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064302

Elastic in cash, inelastic in repo : hedge funds in the treasury and repo markets

Poinelli, Andrea; Pelizzon, Loriana; Tomio, Davide; … - 2026 - This draft: August 7, 2026

Sovereign bond markets are a cornerstone of the financial system, and their functioning is tightly linked to repo markets, where investors finance long positions and source bonds for short sales. We show, theoretically and empirically, that repo prices are set in the cash bond market: when...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064688

Central Clearing for Government Securities Repos : A CCP-Centric Perspective

Boudiaf, Ismael - 2026

Government securities-backed repo markets constitute a key funding source for market participants in many jurisdictions. A number of recent stress episodes, e.g., in US and UK repo markets, has led to renewed efforts to strengthen the resilience of repo markets. This notably includes a push to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016087638

Estimating yield impacts of treasury demand and supply changes

Beltran, Daniel; Li, Canlin - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016090346

The impact of financial stability policies on Korea treasury bond yields

Hong, Jong Soo; Kim, Meeroo - 2026

This paper examines the effects of macroprudential regulations implemented in the Republic of Korea on Korea Treasury bond (KTB) yields. While macroprudential regulations primarily aim to enhance financial stability by mitigating systemic risks, they can also indirectly affect bond market...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016090684

Understanding bank demand for sovereign debt and its systemic risk implications : the Kenyan experience

Ochenge, Rogers - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015375428

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Understanding bank demand for sovereign debt and its systemic risk implications: The Kenyan experience

Ochenge, Rogers - 2025

Book / Working Paper

Tariff War Shock and the Convenience Yield of US Treasuries — A Hedging Perspective

Acharya, Viral V.; Laarits, Toomas - 2026

We explain how the "Tariff War" shock of April 2025 affected the safe-asset status of US Treasuries. Convenience yield erosion for long bonds is consistent with a reduction in the hedging property, reflected in a rising stock-bond covariance. Decomposing the Treasury yield into risk-free rate,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593714

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Tariff war shock and the convenience yield of US treasuries : a hedging perspective

Acharya, Viral V.; Laarits, Toomas - 2026

Book / Working Paper

Government bond risk and return in the US and China

Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015580480

Whither U.S. inflation and interest rates?

Andolfatto, David - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549002

Treasury bond pricing via no arbitrage arguments and machine learning : evidence from China

Zhang, Liangliang; Tian, Ruyan; Zhang, Weiping; Yang, Qing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559932

Does liquidity management induce fragility in treasury prices? : evidence from bond mutual funds

Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371019

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Does Liquidity Management Induce Fragility in Treasury Prices : Evidence from Bond Mutual Funds

Huang, Shiyang - 2020

Book / Working Paper

Estimating Demand Systems with Bidding Data

Allen, Jason; Kastl, Jakub; Wittwer, Milena - 2026

We introduce a framework for estimating demand across multiple assets with bidding data. Unlike existing methods, our approach does not rely on price instruments, which are often difficult to obtain. We describe the data requirements for implementation and illustrate its versatility using two...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015593848

The impact of yield curve control under different regimes on Japanese Government Bonds and swap markets in the super long term

Ito, Takayasu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371247

Market power and capital constraints

Wittwer, Milena; Allen, Jason - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061808

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Market Power and Capital Constraints

Wittwer, Milena; Allen, Jason - 2026

Book / Working Paper

U.S. Treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

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,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372069

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US treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

Book / Working Paper

Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high

Ozocak, Onem - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372120

Bank treasury management : a practitioner's guide to hedging and funding strategy

Lubinska, Beata - 2026

In today's complex and ever-changing financial landscape, treasury management has become a crucial function within organizations. The ability to manage financial risks, ensure liquidity, and comply with regulatory standards is essential for the long-term success and stability of any business....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015531715

The United States and Its Creditors : Assessing Foreign Demand for U.S. Assets

Chari, Anusha; Milesi-Ferretti, Gian Maria - 2026

This paper analyzes foreign demand for U.S. assets, with particular emphasis on U.S. Treasury securities. It documents compositional shifts in U.S. bilateral external positions across geographic regions and asset classes, providing estimates of creditor positions closer to a nationality-based...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063351

US ($) interest rate and cross currency swaps after the LIBOR funeral : a corporate treasury primer

Heidorn, Thomas; Liem, Erik; Requardt, Stefan; … - 2025

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,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015333448

US Treasury market default risk and global interbank liquidity risk

Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015334486

Granular treasury demand with arbitrageurs

Jansen, Kristy A. E.; Li, Wenhao; Schmid, Lukas - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618317

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Granular Treasury Demand with Arbitrageurs

Jansen, Kristy A. E.; Li, Wenhao; Schmid, Lukas - 2024

Book / Working Paper

Measuring the monetary services of US treasury securities

Keinsley, Andrew - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015192665

On the dynamics of treasury bond yields : from term structure modelling to economic scenario generation

Hong, Yi; Xu, Maochun; Wen, Conghua - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016063949

Treasury bond futures and options

Johnson, Owain; Leininger, Eric; Kronstein, Jonathan; … - 2026

"U.S. Treasury futures and options are the world's largest fixed income markets. They enable investors and traders to trade, risk manage and invest in U.S. government notes or bonds for future delivery. The U.S. government bond market is the most liquid, secure and diverse among international...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015634388

Sovereign debt markets and resilience in a heterogeneous union : on the interaction of European economic and national fiscal policies

Spronsen, Josha van - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015325839

Investor reactions to treasury regulations : the case of GILTI

Marino, Amanda R.; Watson, Luke - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085477

Implied skewness of the treasury yield : a new predictor for stock market bubbles

Polat, Onur; Gupta, Rangan; Demirer, Rıza; Bouri, Elie - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467592

Nominal U.S. treasuries embed liquidity premiums, too

Durham, J. Benson - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451333

US treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015408847

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U.S. Treasury market functioning from the GFC to the pandemic

Adrian, Tobias; Fleming, Michael J.; Nikolaou, Kleopatra - 2025

Book / Working Paper

Unconventional monetary policy spillovers and the (in)convenience of treasuries

Stedman, Karlye Dilts; Hanson, Andrew - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451392

Testing the Liquidity Support Effects of the U.S. Treasury Buyback Program

Zhou, Jing - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451962

Bidding Behavior in Italian Treasury Auctions : The Role of Top-ups

Marchettini, Daniela - 2025

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015452106

The relationship between market depth and liquidity fragility in the treasury market

Meldrum, Andrew; Sokolinskiy, Oleg - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015406653

The central bank's balance sheet and treasury market disruptions

Avernas, Adrien d'; Petersen, Damon; Vandeweyer, Quentin - 2025

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)...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434002

Risk-averse dealers in a risk-free market : the role of trading desk risk limits

Li, Dan; Petrasek, Lubomir; Tian, Mary - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437916

Market liquidity in treasury futures market during March 2020

Gousgounis, Eleni; Mixon, Scott; Tuzun, Tugkan; Vega, Clara - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437941

Trading costs v. indicative liquidity in the off-the-run treasury market

Sokolinskiy, Oleg - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438381