Details about Michael J. Fleming

Homepage:	http://www.newyorkfed.org/research/economists/fleming
Workplace:	Federal Reserve Bank of New York, (more information at EDIRC) Research and Statistics Group, Federal Reserve Bank of New York, (more information at EDIRC)

Access statistics for papers by Michael J. Fleming.

Last updated 2024-07-08. Update your information in the RePEc Author Service.

Short-id: pfl35

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Working Papers

2024

1. End‑of‑Month Liquidity in the Treasury Market
   Liberty Street Economics, Federal Reserve Bank of New York
2. Has Treasury Market Liquidity Improved in 2024?
   Liberty Street Economics, Federal Reserve Bank of New York
3. Measuring Treasury Market Depth
   Liberty Street Economics, Federal Reserve Bank of New York

2023

4. Dealer Capacity and U.S. Treasury Market Functionality
   Staff Reports, Federal Reserve Bank of New York View citations (3)
   Also in BIS Working Papers, Bank for International Settlements (2023) View citations (4)
5. How Has Treasury Market Liquidity Evolved in 2023?
   Liberty Street Economics, Federal Reserve Bank of New York
6. The 2022 Spike in Corporate Security Settlement Fails
   Liberty Street Economics, Federal Reserve Bank of New York

2022

7. All-to-All Trading in the U.S. Treasury Market
   Staff Reports, Federal Reserve Bank of New York
   See also Journal Article All-to-All Trading in the U.S. Treasury Market, Economic Policy Review, Federal Reserve Bank of New York (2025) (2025)
8. How Liquid Has the Treasury Market Been in 2022?
   Liberty Street Economics, Federal Reserve Bank of New York
9. The Bond Market Selloff in Historical Perspective
   Liberty Street Economics, Federal Reserve Bank of New York

2021

10. The Federal Reserve’s Market Functioning Purchases
    Staff Reports, Federal Reserve Bank of New York View citations (1)
    See also Journal Article The Federal Reserve’s Market Functioning Purchases, Economic Policy Review, Federal Reserve Bank of New York (2022) View citations (1) (2022)
11. The Netting Efficiencies of Marketwide Central Clearing
    Staff Reports, Federal Reserve Bank of New York View citations (5)

2020

12. How Does Tick Size Affect Treasury Market Quality?
    Liberty Street Economics, Federal Reserve Bank of New York
13. How Does the Liquidity of New Treasury Securities Evolve?
    Liberty Street Economics, Federal Reserve Bank of New York
14. How Liquid Is the New 20-Year Treasury Bond?
    Liberty Street Economics, Federal Reserve Bank of New York
15. The COVID-19 Pandemic and the Fed’s Response
    Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
16. Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic
    Liberty Street Economics, Federal Reserve Bank of New York View citations (17)
17. Treasury Market Liquidity during the COVID-19 Crisis
    Liberty Street Economics, Federal Reserve Bank of New York View citations (17)
18. Treasury Market When-Issued Trading Activity
    Liberty Street Economics, Federal Reserve Bank of New York

2019

19. Assessing the Price Impact of Treasury Market Workups
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
20. Creditor Recovery in Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
21. Customer and Employee Losses in Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York
22. Dealer Participation in the TSLF Options Program
    Liberty Street Economics, Federal Reserve Bank of New York
23. How Much Value Was Destroyed by the Lehman Bankruptcy?
    Liberty Street Economics, Federal Reserve Bank of New York
24. Lehman's Bankruptcy Expenses
    Liberty Street Economics, Federal Reserve Bank of New York
25. The Indirect Costs of Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York
26. Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market
    Staff Reports, Federal Reserve Bank of New York View citations (1)
    See also Journal Article Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market, Management Science, INFORMS (2024) (2024)

2018

27. Breaking Down TRACE Volumes Further
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) View citations (6)
28. Dealer Trading and Positioning in Floating Rate Notes
    Liberty Street Economics, Federal Reserve Bank of New York
29. Do You Know How Your Treasury Trades Are Cleared and Settled?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
30. Options of Last Resort
    Liberty Street Economics, Federal Reserve Bank of New York
31. Price Impact of Trades and Orders in the U.S. Treasury Securities Market
    Liberty Street Economics, Federal Reserve Bank of New York
32. U.S. Treasury Market Action on Election Night 2016
    Liberty Street Economics, Federal Reserve Bank of New York
33. Unlocking the Treasury Market through TRACE
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) View citations (5)

2017

34. Advent of Trade Reporting for U.S. Treasury Securities
    Liberty Street Economics, Federal Reserve Bank of New York
35. Market Liquidity after the Financial Crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (50)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2017) View citations (26)
    Staff Reports, Federal Reserve Bank of New York (2016) View citations (40)
    See also Journal Article Market Liquidity After the Financial Crisis, Annual Review of Financial Economics, Annual Reviews (2017) (2017)
36. The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data
    Staff Reports, Federal Reserve Bank of New York View citations (6)
37. Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?
    Liberty Street Economics, Federal Reserve Bank of New York

2016

38. A Closer Look at the Federal Reserve’s Securities Lending Program
    Liberty Street Economics, Federal Reserve Bank of New York
39. Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
    Liberty Street Economics, Federal Reserve Bank of New York
40. Continuing the Conversation on Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York
41. Corporate Bond Market Liquidity Redux: More Price-Based Evidence
    Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
42. Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
43. Has MBS Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York
44. Intraday market making with overnight inventory costs
    Staff Reports, Federal Reserve Bank of New York View citations (5)
    See also Journal Article Intraday market making with overnight inventory costs, Journal of Financial Markets, Elsevier (2020) View citations (6) (2020)
45. Is Treasury Market Liquidity Becoming More Concentrated
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
46. Primary Dealer Participation in the Secondary U.S. Treasury Market
    Liberty Street Economics, Federal Reserve Bank of New York View citations (3)
47. Trading activity in the Indian government bond market
    Staff Reports, Federal Reserve Bank of New York View citations (2)
48. What’s behind the March Spike in Treasury Fails?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2015

49. Changes in the Returns to Market Making
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
50. Dealers’ Positions and the Auction Cycle
    Liberty Street Economics, Federal Reserve Bank of New York
51. Has Liquidity Risk in the Corporate Bond Market Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
52. Has Liquidity Risk in the Treasury and Equity Markets Increased?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
53. Has U.S. Treasury Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
54. Introduction to a Series on Market Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York
55. Introduction to a Series on Market Liquidity: Part 2
    Liberty Street Economics, Federal Reserve Bank of New York
56. Redemption Risk of Bond Mutual Funds and Dealer Positioning
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
57. The Evolution of Workups in the U.S. Treasury Securities Market
    Liberty Street Economics, Federal Reserve Bank of New York
58. What's Driving Dealer Balance Sheet Stagnation?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)

2014

59. At the N.Y. Fed: Workshop on the Risks of Wholesale Funding
    Liberty Street Economics, Federal Reserve Bank of New York
60. Dealer financial conditions and lender-of-last resort facilities
    Staff Reports, Federal Reserve Bank of New York View citations (20)
    See also Journal Article Dealer financial conditions and lender-of-last-resort facilities, Journal of Financial Economics, Elsevier (2017) View citations (25) (2017)
61. ECB Monetary Operations and the Interbank Repo Market
    Research Technical Papers, Central Bank of Ireland View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (7)
62. Measuring Settlement Fails
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
63. The Failure Resolution of Lehman Brothers
    Liberty Street Economics, Federal Reserve Bank of New York View citations (8)
    See also Journal Article The failure resolution of Lehman Brothers, Economic Policy Review, Federal Reserve Bank of New York (2013) View citations (3) (2013)
64. What Explains the June Spike in Treasury Settlement Fails?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2013

65. Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (15)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2013) View citations (8)
66. How Liquid Is the Inflation Swap Market?
    Liberty Street Economics, Federal Reserve Bank of New York
67. Information on Dealer Activity in Specific Treasury Issues Now Available
    Liberty Street Economics, Federal Reserve Bank of New York
68. Price and size discovery in financial markets: evidence from the U.S. Treasury securities market
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    See also Journal Article Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market, The Review of Asset Pricing Studies, Society for Financial Studies (2019) View citations (5) (2019)
69. Primary Dealers’ Waning Role in Treasury Auctions
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
70. The Microstructure of China's Government Bond Market
    Staff Reports, Federal Reserve Bank of New York View citations (6)
71. The Recent Bond Market Selloff in Historical Perspective
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
72. The SOMA Portfolio through Time
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
73. Transparency and Sources of Information on the Federal Reserve’s Operations, Income, and Balance Sheet
    Liberty Street Economics, Federal Reserve Bank of New York
74. What if? A Counterfactual SOMA Portfolio
    Liberty Street Economics, Federal Reserve Bank of New York

2012

75. An analysis of OTC interest rate derivatives transactions: implications for public reporting
    Staff Reports, Federal Reserve Bank of New York View citations (6)
76. Failure Is No Longer a (Free) Option for Agency Debt and Mortgage-Backed Securities
    Liberty Street Economics, Federal Reserve Bank of New York
77. Federal Reserve liquidity provision during the financial crisis of 2007-2009
    Staff Reports, Federal Reserve Bank of New York View citations (29)
    See also Journal Article Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009, Annual Review of Financial Economics, Annual Reviews (2012) View citations (42) (2012)
78. Liquidity and volatility in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York View citations (10)
    See also Journal Article Liquidity and volatility in the U.S. Treasury market, Journal of Econometrics, Elsevier (2020) View citations (11) (2020)
79. The Impact of Trade Reporting on the Interest Rate Derivatives Market
    Liberty Street Economics, Federal Reserve Bank of New York

2011

80. An analysis of CDS transactions: implications for public reporting
    Staff Reports, Federal Reserve Bank of New York View citations (39)
81. How Might Increased Transparency Affect the CDS Market?
    Liberty Street Economics, Federal Reserve Bank of New York
82. Repo Market Microstructure in Unusual Monetary Policy Conditions
    Research Technical Papers, Central Bank of Ireland View citations (9)

2010

83. Repo market effects of the Term Securities Lending Facility
    Staff Reports, Federal Reserve Bank of New York View citations (48)
    See also Journal Article Repo Market Effects of the Term Securities Lending Facility, American Economic Review, American Economic Association (2010) View citations (70) (2010)

2009

84. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
    Staff Reports, Federal Reserve Bank of New York View citations (9)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) View citations (6)
    See also Journal Article The microstructure of a U.S. Treasury ECN: The BrokerTec platform, Journal of Financial Markets, Elsevier (2018) View citations (31) (2018)
85. The microstructure of the TIPS market
    Staff Reports, Federal Reserve Bank of New York View citations (7)
    See also Journal Article The microstructure of the TIPS market, Economic Policy Review, Federal Reserve Bank of New York (2012) View citations (12) (2012)

2007

86. How do treasury dealers manage their positions?
    Staff Reports, Federal Reserve Bank of New York View citations (15)
    See also Journal Article How do Treasury dealers manage their positions?, Journal of Financial Economics, Elsevier (2024) View citations (1) (2024)

2004

87. Anomalous bidding in short-term Treasury bill auctions
    Staff Reports, Federal Reserve Bank of New York View citations (2)
    See also Journal Article ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS*, Journal of Financial Research, Southern Finance Association (2005) View citations (3) (2005)

2002

88. Are larger Treasury issues more liquid? Evidence from bill reopenings
    Staff Reports, Federal Reserve Bank of New York View citations (47)
    See also Journal Article Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (55) (2002)

2001

89. Financial market implications of the federal debt paydown
    Staff Reports, Federal Reserve Bank of New York View citations (16)
90. Measuring treasury market liquidity
    Staff Reports, Federal Reserve Bank of New York View citations (30)
    See also Journal Article Measuring treasury market liquidity, Economic Policy Review, Federal Reserve Bank of New York (2003) View citations (182) (2003)

1999

91. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (10)
92. The term structure of announcement effects
    BIS Working Papers, Bank for International Settlements View citations (44)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (26)

1998

93. How workers use 401(k) plans: the participation, contribution, and withdrawal decisions
    Staff Reports, Federal Reserve Bank of New York View citations (55)
    See also Journal Article How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions, National Tax Journal, National Tax Association (1998) View citations (58) (1998)

1997

94. Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements
    Staff Reports, Federal Reserve Bank of New York View citations (11)
95. What moves the bond market?
    Research Paper, Federal Reserve Bank of New York View citations (205)
    See also Journal Article What moves the bond market?, Economic Policy Review, Federal Reserve Bank of New York (1997) View citations (130) (1997)

1996

96. Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements
    Research Paper, Federal Reserve Bank of New York View citations (6)

1995

97. New evidence on the effectiveness of the proxy mechanism
    Research Paper, Federal Reserve Bank of New York View citations (1)
98. Preserving firm value through exit: the case of voluntary liquidations
    Staff Reports, Federal Reserve Bank of New York View citations (1)

Journal Articles

2025

1. All-to-All Trading in the U.S. Treasury Market
   Economic Policy Review, 2025, 31, (2), 1-27
   See also Working Paper All-to-All Trading in the U.S. Treasury Market, Staff Reports (2022) (2022)

2024

2. How do Treasury dealers manage their positions?
   Journal of Financial Economics, 2024, 158, (C) View citations (1)
   See also Working Paper How do treasury dealers manage their positions?, Staff Reports (2007) View citations (15) (2007)
3. Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market
   Management Science, 2024, 70, (1), 332-354
   See also Working Paper Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market, Staff Reports (2019) View citations (1) (2019)

2022

4. The Federal Reserve’s Market Functioning Purchases
   Economic Policy Review, 2022, 28, (1), 210-241 View citations (1)
   See also Working Paper The Federal Reserve’s Market Functioning Purchases, Staff Reports (2021) View citations (1) (2021)

2020

5. Intraday market making with overnight inventory costs
   Journal of Financial Markets, 2020, 50, (C) View citations (6)
   See also Working Paper Intraday market making with overnight inventory costs, Staff Reports (2016) View citations (5) (2016)
6. Liquidity and volatility in the U.S. Treasury market
   Journal of Econometrics, 2020, 217, (2), 207-229 View citations (11)
   See also Working Paper Liquidity and volatility in the U.S. treasury market, Staff Reports (2012) View citations (10) (2012)

2019

7. Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market
   The Review of Asset Pricing Studies, 2019, 9, (2), 256-295 View citations (5)
   See also Working Paper Price and size discovery in financial markets: evidence from the U.S. Treasury securities market, Staff Reports (2013) View citations (2) (2013)

2018

8. The microstructure of a U.S. Treasury ECN: The BrokerTec platform
   Journal of Financial Markets, 2018, 40, (C), 2-22 View citations (31)
   See also Working Paper The microstructure of a U.S. Treasury ECN: the BrokerTec platform, Staff Reports (2009) View citations (9) (2009)

2017

9. Dealer financial conditions and lender-of-last-resort facilities
   Journal of Financial Economics, 2017, 123, (1), 81-107 View citations (25)
   See also Working Paper Dealer financial conditions and lender-of-last resort facilities, Staff Reports (2014) View citations (20) (2014)
10. Market Liquidity After the Financial Crisis
    Annual Review of Financial Economics, 2017, 9, (1), 43-83
    See also Working Paper Market Liquidity after the Financial Crisis, CEPR Discussion Papers (2017) View citations (50) (2017)

2013

11. The failure resolution of Lehman Brothers
    Economic Policy Review, 2013, (Dec), 175-206 View citations (3)
    See also Working Paper The Failure Resolution of Lehman Brothers, Liberty Street Economics (2014) View citations (8) (2014)
12. Trading activity and price transparency in the inflation swap market
    Economic Policy Review, 2013, 19, (May), 45-57 View citations (14)

2012

13. Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009
    Annual Review of Financial Economics, 2012, 4, (1), 161-177 View citations (42)
    See also Working Paper Federal Reserve liquidity provision during the financial crisis of 2007-2009, Staff Reports (2012) View citations (29) (2012)
14. The microstructure of the TIPS market
    Economic Policy Review, 2012, 18, (Mar), 27-45 View citations (12)
    See also Working Paper The microstructure of the TIPS market, Staff Reports (2009) View citations (7) (2009)

2011

15. Income effects of Federal Reserve liquidity facilities
    Current Issues in Economics and Finance, 2011, 17, (Feb) View citations (3)

2010

16. Repo Market Effects of the Term Securities Lending Facility
    American Economic Review, 2010, 100, (2), 591-96 View citations (70)
    See also Working Paper Repo market effects of the Term Securities Lending Facility, Staff Reports (2010) View citations (48) (2010)
17. The Federal Reserve's foreign exchange swap lines
    Current Issues in Economics and Finance, 2010, 16, (Apr) View citations (25)

2009

18. The Term Securities Lending Facility: origin, design, and effects
    Current Issues in Economics and Finance, 2009, 15, (Feb) View citations (36)

2007

19. Dealer behavior in the specials market for US Treasury securities
    Journal of Financial Intermediation, 2007, 16, (2), 204-228 View citations (19)
20. Who buys Treasury securities at auction?
    Current Issues in Economics and Finance, 2007, 13, (Jan) View citations (15)

2005

21. ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS*
    Journal of Financial Research, 2005, 28, (2), 165-176 View citations (3)
    See also Working Paper Anomalous bidding in short-term Treasury bill auctions, Staff Reports (2004) View citations (2) (2004)
22. Explaining settlement fails
    Current Issues in Economics and Finance, 2005, 11, (Sep) View citations (24)
23. What financing data reveal about dealer leverage
    Current Issues in Economics and Finance, 2005, 11, (Mar) View citations (31)

2004

24. Repurchase agreements with negative interest rates
    Current Issues in Economics and Finance, 2004, 10, (Apr) View citations (26)

2003

25. Measuring treasury market liquidity
    Economic Policy Review, 2003, (Sep), 83-108 View citations (182)
    See also Working Paper Measuring treasury market liquidity, Staff Reports (2001) View citations (30) (2001)

2002

26. Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings
    Journal of Money, Credit and Banking, 2002, 34, (3), 707-35 View citations (55)
    Also in Proceedings, 2002, 707-739 (2002) View citations (56)
    See also Working Paper Are larger Treasury issues more liquid? Evidence from bill reopenings, Staff Reports (2002) View citations (47) (2002)
27. When the back office moved to the front burner: settlement fails in the treasury market after 9/11
    Economic Policy Review, 2002, 8, (Nov), 35-57 View citations (25)

2000

28. The benchmark U.S. Treasury market: recent performance and possible alternatives
    Economic Policy Review, 2000, (Apr), 129-145 View citations (27)

1999

29. Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
    Journal of Finance, 1999, 54, (5), 1901-1915 View citations (347)

1998

30. How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions
    National Tax Journal, 1998, 51, (2), 263-89 View citations (58)
    See also Working Paper How workers use 401(k) plans: the participation, contribution, and withdrawal decisions, Staff Reports (1998) View citations (55) (1998)

1997

31. The round-the-clock market for U.S. Treasury securities
    Economic Policy Review, 1997, 3, (Jul), 9-32 View citations (58)
32. What moves the bond market?
    Economic Policy Review, 1997, 3, (Dec), 31-50 View citations (130)
    See also Working Paper What moves the bond market?, Research Paper (1997) View citations (205) (1997)

Chapters

1999

1. Liquidity in U.S. Treasury Spot and Futures Markets
   A chapter in Market Liquidity: Research Findings and Selected Policy Implications, 1999, vol. 11, pp 1-14 View citations (9)