scholarly journals Why is the U.S. Treasury Contemplating Becoming a Lender of Last Resort for Treasury Securities?

2006 ◽  
Author(s):  
Kenneth Garbade ◽  
John Kambhu
Keyword(s):  
Lender Of Last Resort ◽  
Treasury Securities ◽  
The U.S

scholarly journals Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market

2018 ◽  
Vol 9 (2) ◽  
pp. 256-295 ◽  
Author(s):  
Michael J Fleming ◽  
Giang Nguyen
Keyword(s):  
Yield Curve ◽  
Securities Market ◽  
Order Flow ◽  
Treasury Securities ◽  
Oxford University ◽  
Informed Traders ◽  
Nature Of Information ◽  
Editorial Decision ◽  
To Come ◽  
The U.S

Abstract We study the workup protocol, an important size discovery mechanism in the U.S. Treasury market. We find that workup order flow shocks explain 6%–8% of the variation of returns on benchmark notes and, across maturities, 10% of the variation of the yield curve level factor. Information related to proprietary client order flow is more likely to show up in workup trades, whereas information derived from public announcements tends to come through preworkup trades. Our findings highlight how the nature of information affects the trade-off between speed and execution price when informed traders choose between the lit and workup channels. Received May 3, 2017; Editorial decision August 1, 2018 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online. Internet Appendix tables are numbered with “IA” prefix.

The IMF’s “Triumphant Return” in the 1980s

2019 ◽  
pp. 137-146
Author(s):  
Jerome Roos
Keyword(s):  
Foreign Debt ◽  
Financial Contagion ◽  
Lender Of Last Resort ◽  
Wall Street ◽  
International Crisis ◽  
Leading Role ◽  
Private Banks ◽  
Mexican Government ◽  
Lending Decisions ◽  
The U.S

This chapter discusses how the second enforcement mechanism of official-sector intervention operated in practice. It shows how the large exposures of the big Wall Street banks to Mexico's highly concentrated debt greatly increased the risk of financial contagion, thus moving the U.S. government to intervene on its own banks' behalf and push for active IMF involvement. By coordinating the lending decisions of the private banks and disbursing emergency loans under strict policy conditionality, the Fund assumed a leading role as an international crisis manager and lender of last resort, serving both as a fiscal disciplinarian of the debtor governments and as the informal head of the private creditors' cartel. In this way, the creditors managed to keep the Mexican government in the lending game while at the same time freeing up domestic resources for foreign debt servicing. This not only prevented a disorderly default but also maximized the likelihood of full repayment.

United States Treasury Securities

2019 ◽  
pp. 121-138
Author(s):  
Alan N. Rechtschaffen
Keyword(s):  
Interest Rates ◽  
Federal Government ◽  
Yield Curve ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
United States Treasury ◽  
Treasury Bills ◽  
Treasury Securities ◽  
Treasury Department ◽  
The U.S

This chapter begins with a discussion of the purpose and goals of treasury securities. Treasury securities are a type of debt instrument providing limited credit risk. U.S. Treasury bills, notes, and bonds are issued by the Treasury Department and represent direct obligations of the U.S. government. Treasury securities are used to meet the needs of investors who wish to “loan” money to the federal government and in return receive a fixed or floating interest rate. The Treasury yield curve is a benchmark for fixed income securities across the spectrum of debt securities. The remainder of the chapter covers types of treasury securities, pricing, bond auctions and their effect on price, interest rates, and STRIPS (separate trading of registered interest and principal securities).

scholarly journals A VAR Analysis Of US-China Economic Linkages

2011 ◽  
Vol 8 (7) ◽  
Author(s):  
Dene T. Hurley
Keyword(s):  
Interest Rates ◽  
Impulse Response ◽  
Significant Role ◽  
Variance Decomposition ◽  
Short Term ◽  
Treasury Bill ◽  
Treasury Securities ◽  
Var Analysis ◽  
The U.S

An increase in Chinese purchases of U.S. treasury securities in parallel with Chinas commitment to maintain the value of the Yuan have been blamed in recent years for the divergence of the U.S. long-term and short-term interest rates. Results of the VECM, variance decomposition and impulse response analyses provided support for the growing speculations that growing Chinese demand for U.S. securities played a significant role in keeping the 10-year Treasury bill rate low while keeping the Yuan weak relative to the U.S. dollar. As for the U.S. long-term and short-term interest rates, the causality was found to run from the 10-year Treasury bill yield to the s rate which helps to explain why rising short-term rate in the U.S. since mid-2004 had little or no impact on the long-term rate.

scholarly journals Three Essays on the U.S. Treasury Market

2021 ◽  
Author(s):  
◽  
Rui Qiao
Keyword(s):  
Market Efficiency ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Treasury Securities ◽  
News Announcements ◽  
Belief Heterogeneity ◽  
Treasury Market ◽  
Order Books ◽  
The Impact ◽  
The U.S

<p>My thesis consists of three essays on market microstructure. Focusing on the U.S. Treasury market, I investigate several interesting research questions by using twelve years of BrokerTec order books of 2-, 5-, and 10-year on-the-run U.S. Treasury notes from January 1, 2004 to December 31, 2015, and five years of BrokerTec order books of 3-, 7- and 30-year on-the-run U.S. Treasury securities from January 1, 2011 to December 31, 2015. In the U.S. Treasury market, BrokerTec is one of the two dominant electronic communication networks (ECNs). According to my calculations by using BrokerTec order books from 2011 to 2015, the average daily trading volume of BrokerTec on-the-run U.S. Treasury securities is about 134.9 billion U.S. dollars, which accounts for about 26% of that of the total U.S. Treasury primary dealer activity. To help a wider audience better understand the importance of the research questions in the following three chapters, Chapter 1 gives a brief introduction to the U.S. Treasury market.  In Chapter 2, I investigate the impact of scheduled macroeconomic news announcements on the U.S. Treasury market efficiency. To control the microstructure noise, I employ a robust method to construct market inefficiency measures. I find that the U.S. Treasury market becomes less efficient starting from five minutes before news arrivals. The finding is robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. Investor heterogeneity could explain the decreased market efficiency before scheduled news announcements.  In Chapter 3, I investigate the impact of workup trading protocols on the U.S. Treasury market quality. Each transaction on the lit pool opens a workup window, during which the BrokerTec trading platform continues to receive order submissions and modifications, but only matches workup orders that have the same prices. Each workup transaction starts a new counting down of the workup clock. A workup window naturally closes either after the workup times out or when a limit order is submitted at a better price. I find that the workup trading activities decrease the market quality, in aspects of market efficiency and market liquidity.  In Chapter 4, I empirically examine the role of heterogeneity in traders’ beliefs and public information shocks on traders’ order submission decisions around news announcements in the U.S. Treasury market. I find that during both the pre-announcement period and the post-announcement period, the traders tend to submit more market orders and aggressive limit orders when the market uncertainty is high. I also find that the belief heterogeneity influences investors’ trading behavior and order submission strategies around news announcements. The role of the belief heterogeneity on order aggressiveness depends on the type of news, and the magnitude of the information shocks. The impact of market uncertainty and belief heterogeneity influences traders’ submission of both of the market orders and aggressive limit orders.  In Chapter 5, I provide a summary on the research findings in Chapter 2, Chapter 3 and Chapter 4. I also discuss the contributions of this thesis to the literature.</p>

scholarly journals Three Essays on the U.S. Treasury Market

2021 ◽  
Author(s):  
◽  
Rui Qiao
Keyword(s):  
Market Efficiency ◽  
Market Uncertainty ◽  
Macroeconomic News ◽  
Treasury Securities ◽  
News Announcements ◽  
Belief Heterogeneity ◽  
Treasury Market ◽  
Order Books ◽  
The Impact ◽  
The U.S

<p>My thesis consists of three essays on market microstructure. Focusing on the U.S. Treasury market, I investigate several interesting research questions by using twelve years of BrokerTec order books of 2-, 5-, and 10-year on-the-run U.S. Treasury notes from January 1, 2004 to December 31, 2015, and five years of BrokerTec order books of 3-, 7- and 30-year on-the-run U.S. Treasury securities from January 1, 2011 to December 31, 2015. In the U.S. Treasury market, BrokerTec is one of the two dominant electronic communication networks (ECNs). According to my calculations by using BrokerTec order books from 2011 to 2015, the average daily trading volume of BrokerTec on-the-run U.S. Treasury securities is about 134.9 billion U.S. dollars, which accounts for about 26% of that of the total U.S. Treasury primary dealer activity. To help a wider audience better understand the importance of the research questions in the following three chapters, Chapter 1 gives a brief introduction to the U.S. Treasury market.  In Chapter 2, I investigate the impact of scheduled macroeconomic news announcements on the U.S. Treasury market efficiency. To control the microstructure noise, I employ a robust method to construct market inefficiency measures. I find that the U.S. Treasury market becomes less efficient starting from five minutes before news arrivals. The finding is robust for different sample periods, macroeconomic news announcements, and market inefficiency measures. Investor heterogeneity could explain the decreased market efficiency before scheduled news announcements.  In Chapter 3, I investigate the impact of workup trading protocols on the U.S. Treasury market quality. Each transaction on the lit pool opens a workup window, during which the BrokerTec trading platform continues to receive order submissions and modifications, but only matches workup orders that have the same prices. Each workup transaction starts a new counting down of the workup clock. A workup window naturally closes either after the workup times out or when a limit order is submitted at a better price. I find that the workup trading activities decrease the market quality, in aspects of market efficiency and market liquidity.  In Chapter 4, I empirically examine the role of heterogeneity in traders’ beliefs and public information shocks on traders’ order submission decisions around news announcements in the U.S. Treasury market. I find that during both the pre-announcement period and the post-announcement period, the traders tend to submit more market orders and aggressive limit orders when the market uncertainty is high. I also find that the belief heterogeneity influences investors’ trading behavior and order submission strategies around news announcements. The role of the belief heterogeneity on order aggressiveness depends on the type of news, and the magnitude of the information shocks. The impact of market uncertainty and belief heterogeneity influences traders’ submission of both of the market orders and aggressive limit orders.  In Chapter 5, I provide a summary on the research findings in Chapter 2, Chapter 3 and Chapter 4. I also discuss the contributions of this thesis to the literature.</p>

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