Details about Michael J. Fleming

Access statistics for papers by Michael J. Fleming.

Last updated 2008-10-07. Update your information in the RePEc Author Service.

Short-id: pfl35

Working Papers

2008

1. The Microstructure of a U.S. Treasury ECN: The Brokertec Platform
   Departmental Working Papers, Rutgers University, Department of Economics View citations

2007

2. How do treasury dealers manage their positions?
   Staff Reports, Federal Reserve Bank of New York View citations

2004

3. Anomalous bidding in short-term Treasury bill auctions
   Staff Reports, Federal Reserve Bank of New York View citations

2002

4. Are larger Treasury issues more liquid? Evidence from bill reopenings
   Staff Reports, Federal Reserve Bank of New York View citations
   See Also Journal Article in Journal of Money, Credit and Banking (2002)

2001

5. Financial market implications of the federal debt paydown
   Staff Reports, Federal Reserve Bank of New York View citations
6. Measuring treasury market liquidity
   Staff Reports, Federal Reserve Bank of New York View citations
   See Also Journal Article in Economic Policy Review (2003)

1999

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

1998

9. How workers use 401(k) plans: the participation, contribution, and withdrawal decisions
   Staff Reports, Federal Reserve Bank of New York View citations

1997

10. 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. What moves the bond market?
    Research Paper, Federal Reserve Bank of New York View citations
    See Also Journal Article in Economic Policy Review (1997)

1996

12. 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

1995

13. New evidence on the effectiveness of the proxy mechanism
    Research Paper, Federal Reserve Bank of New York
14. Preserving firm value through exit: the case of voluntary liquidations
    Staff Reports, Federal Reserve Bank of New York

Journal Articles

2007

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

2005

3. Explaining settlement fails
   Current Issues in Economics and Finance, 2005, (Sep) View citations
4. What financing data reveal about dealer leverage
   Current Issues in Economics and Finance, 2005, (Mar) View citations

2004

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

2003

6. Measuring treasury market liquidity
   Economic Policy Review, 2003, (Sep), 83-108 View citations
   See Also Working Paper (2001)

2002

7. Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings
   Journal of Money, Credit and Banking, 2002, 34, (3), 707-35 View citations
   Also in
   Proceedings, 2002, 707-739 (2002) View citations
   See Also Working Paper (2002)
8. When the back office moved to the front burner: settlement fails in the treasury market after 9/11
   Economic Policy Review, 2002, (Nov), 35-57 View citations

2000

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

1999

10. 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

1997

11. The round-the-clock market for U.S. Treasury securities
    Economic Policy Review, 1997, (Jul), 9-32 View citations
12. What moves the bond market?
    Economic Policy Review, 1997, (Dec), 31-50 View citations
    See Also Working Paper (1997)