Add to ORKGFinancial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. The implied volatilities of Y2K options and the aggressiveness of demand for these instruments reveal that the Fed's action eased the fears of bond dealers, contributing to a drop in the liquidity premium of Treasury securities. Our analysis shows the link between the microstructure of government debt prices and the central bank's provision of liquidity. The use of Y2K options and their effect ...
Risk. I thank Dan Covitz for helpful comments and Sandeep Sarangi for research assistance. The views...
Banks in the euro area typically hold a large amount of government debt in their bond portfolios, wh...
This paper explores liquidity movements in stock and Treasury bond markets over a period of more tha...
Financial institutions around theworld expected themillennium date change (Y2K) to cause an aggregat...
Liquidity in fixed income markets have aroused investors’ interest especially during episodes of fin...
As the United States prepared for the century date change (Y2K) on January 1, 2000, uncertainty abou...
U.S. Treasury securities are nominal assets that are subject to two sources of risk: inflation risk,...
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them ...
We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and gove...
As the United States prepared for the century date change (Y2K) on January 1, 2000, uncertainty abou...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
The “Quantitative and Qualitative Monetary Easing” enacted immediately after the inauguration of Ban...
The new rules on bank liquidity set by the Basel Committee require banks to hold high-quality liquid...
Recent models of limits to arbitrage imply that the tightness of funding conditions faced by financi...
We study the joint time-series of daily liquidity in government bond and stock markets over the peri...
Risk. I thank Dan Covitz for helpful comments and Sandeep Sarangi for research assistance. The views...
Banks in the euro area typically hold a large amount of government debt in their bond portfolios, wh...
This paper explores liquidity movements in stock and Treasury bond markets over a period of more tha...
Financial institutions around theworld expected themillennium date change (Y2K) to cause an aggregat...
Liquidity in fixed income markets have aroused investors’ interest especially during episodes of fin...
As the United States prepared for the century date change (Y2K) on January 1, 2000, uncertainty abou...
U.S. Treasury securities are nominal assets that are subject to two sources of risk: inflation risk,...
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them ...
We examine the determinants of the realized bid-ask spread in the U.S. corporate, municipal and gove...
As the United States prepared for the century date change (Y2K) on January 1, 2000, uncertainty abou...
Liquidity risk has been thought to be an important factor affecting bond pricing. However, measuring...
The “Quantitative and Qualitative Monetary Easing” enacted immediately after the inauguration of Ban...
The new rules on bank liquidity set by the Basel Committee require banks to hold high-quality liquid...
Recent models of limits to arbitrage imply that the tightness of funding conditions faced by financi...
We study the joint time-series of daily liquidity in government bond and stock markets over the peri...
Risk. I thank Dan Covitz for helpful comments and Sandeep Sarangi for research assistance. The views...
Banks in the euro area typically hold a large amount of government debt in their bond portfolios, wh...
This paper explores liquidity movements in stock and Treasury bond markets over a period of more tha...