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Details about Michael J. Fleming

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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 2019-10-16. Update your information in the RePEc Author Service.

Short-id: pfl35


Jump to Journal Articles Chapters

Working Papers

2019

  1. Tick size change and market quality in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York Downloads

2018

  1. Breaking Down TRACE Volumes Further
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. Liquidity and volatility in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
  3. Unlocking the Treasury Market through TRACE
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads

2017

  1. An index of Treasury Market liquidity: 1991-2017
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
  2. Market Liquidity after the Financial Crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in Staff Reports, Federal Reserve Bank of New York (2016) Downloads View citations (27)

    See also Journal Article in Annual Review of Financial Economics (2017)

2016

  1. The microstructure of a U.S. Treasury ECN: the BrokerTec platform
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (9)
    Also in Departmental Working Papers, Rutgers University, Department of Economics (2008) Downloads View citations (6)

    See also Journal Article in Journal of Financial Markets (2018)
  2. Trading activity in the Indian government bond market
    Staff Reports, Federal Reserve Bank of New York Downloads

2015

  1. Price and size discovery in financial markets: evidence from the U.S. Treasury securities market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)

2014

  1. Dealer financial conditions and lender-of-last resort facilities
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (13)
    See also Journal Article in Journal of Financial Economics (2017)
  2. ECB Monetary Operations and the Interbank Repo Market
    Research Technical Papers, Central Bank of Ireland Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) Downloads View citations (5)

2013

  1. 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.) Downloads View citations (4)
  2. The Microstructure of China's Government Bond Market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)

2012

  1. An analysis of OTC interest rate derivatives transactions: implications for public reporting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (5)
  2. Federal Reserve liquidity provision during the financial crisis of 2007-2009
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (18)
    See also Journal Article in Annual Review of Financial Economics (2012)

2011

  1. An analysis of CDS transactions: implications for public reporting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (29)
  2. Repo Market Microstructure in Unusual Monetary Policy Conditions
    Research Technical Papers, Central Bank of Ireland Downloads View citations (8)

2010

  1. Repo market effects of the Term Securities Lending Facility
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (28)
    See also Journal Article in American Economic Review (2010)

2009

  1. The microstructure of the TIPS market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (7)
    See also Journal Article in Economic Policy Review (2012)

2007

  1. How do treasury dealers manage their positions?
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)

2004

  1. Anomalous bidding in short-term Treasury bill auctions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
    See also Journal Article in Journal of Financial Research (2005)

2002

  1. Are larger Treasury issues more liquid? Evidence from bill reopenings
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (41)
    See also Journal Article in Journal of Money, Credit and Banking (2002)

2001

  1. Financial market implications of the federal debt paydown
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (16)
  2. Measuring treasury market liquidity
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (26)
    See also Journal Article in Economic Policy Review (2003)

1999

  1. 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 Downloads View citations (7)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) Downloads View citations (11)
  2. The term structure of announcement effects
    BIS Working Papers, Bank for International Settlements Downloads View citations (25)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) Downloads View citations (25)

1998

  1. How workers use 401(k) plans: the participation, contribution, and withdrawal decisions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (46)
    See also Journal Article in National Tax Journal (1998)

1997

  1. Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
  2. What moves the bond market?
    Research Paper, Federal Reserve Bank of New York Downloads View citations (142)
    See also Journal Article in Economic Policy Review (1997)

1996

  1. Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements
    Research Paper, Federal Reserve Bank of New York Downloads View citations (5)

1995

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

Journal Articles

2018

  1. The microstructure of a U.S. Treasury ECN: The BrokerTec platform
    Journal of Financial Markets, 2018, 40, (C), 2-22 Downloads View citations (6)
    See also Working Paper (2016)

2017

  1. Dealer financial conditions and lender-of-last-resort facilities
    Journal of Financial Economics, 2017, 123, (1), 81-107 Downloads View citations (8)
    See also Working Paper (2014)
  2. Market Liquidity After the Financial Crisis
    Annual Review of Financial Economics, 2017, 9, (1), 43-83 Downloads
    See also Working Paper (2017)

2013

  1. The failure resolution of Lehman Brothers
    Economic Policy Review, 2013, 175-206 Downloads View citations (2)
  2. Trading activity and price transparency in the inflation swap market
    Economic Policy Review, 2013, (may), 45-57 Downloads View citations (4)

2012

  1. Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009
    Annual Review of Financial Economics, 2012, 4, (1), 161-177 Downloads View citations (12)
    See also Working Paper (2012)
  2. The microstructure of the TIPS market
    Economic Policy Review, 2012, (mar), 27-45 Downloads View citations (5)
    See also Working Paper (2009)

2011

  1. Income effects of Federal Reserve liquidity facilities
    Current Issues in Economics and Finance, 2011, (feb) Downloads View citations (2)

2010

  1. Repo Market Effects of the Term Securities Lending Facility
    American Economic Review, 2010, 100, (2), 591-96 Downloads View citations (36)
    See also Working Paper (2010)
  2. The Federal Reserve's foreign exchange swap lines
    Current Issues in Economics and Finance, 2010, (apr) Downloads View citations (17)

2009

  1. The Term Securities Lending Facility: origin, design, and effects
    Current Issues in Economics and Finance, 2009, (feb) Downloads View citations (28)

2007

  1. Dealer behavior in the specials market for US Treasury securities
    Journal of Financial Intermediation, 2007, 16, (2), 204-228 Downloads View citations (10)
  2. Who buys Treasury securities at auction?
    Current Issues in Economics and Finance, 2007, (jan) Downloads View citations (12)

2005

  1. ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS*
    Journal of Financial Research, 2005, 28, (2), 165-176 Downloads View citations (3)
    See also Working Paper (2004)
  2. Explaining settlement fails
    Current Issues in Economics and Finance, 2005, (sep) Downloads View citations (12)
  3. What financing data reveal about dealer leverage
    Current Issues in Economics and Finance, 2005, (mar) Downloads View citations (26)

2004

  1. Repurchase agreements with negative interest rates
    Current Issues in Economics and Finance, 2004, (apr) Downloads View citations (13)

2003

  1. Measuring treasury market liquidity
    Economic Policy Review, 2003, (sep), 83-108 Downloads View citations (123)
    See also Working Paper (2001)

2002

  1. Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings
    Journal of Money, Credit and Banking, 2002, 34, (3), 707-35 View citations (39)
    Also in Proceedings, 2002, 707-739 (2002) View citations (42)

    See also Working Paper (2002)
  2. 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 Downloads View citations (23)

2000

  1. The benchmark U.S. Treasury market: recent performance and possible alternatives
    Economic Policy Review, 2000, (apr), 129-145 Downloads View citations (26)

1999

  1. Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information
    Journal of Finance, 1999, 54, (5), 1901-1915 Downloads View citations (236)

1998

  1. How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions
    National Tax Journal, 1998, 51, (2), 263-89 Downloads View citations (6)
    See also Working Paper (1998)

1997

  1. The round-the-clock market for U.S. Treasury securities
    Economic Policy Review, 1997, (jul), 9-32 Downloads View citations (53)
  2. What moves the bond market?
    Economic Policy Review, 1997, (dec), 31-50 Downloads View citations (115)
    See also Working Paper (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 Downloads View citations (8)
 
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