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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 2020-07-02. Update your information in the RePEc Author Service.

Short-id: pfl35


Jump to Journal Articles Chapters

Working Papers

2020

  1. How Does Tick Size Affect Treasury Market Quality?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. How Liquid Is the New 20-Year Treasury Bond?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. The COVID-19 Pandemic and the Fed’s Response
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  5. Treasury Market Liquidity during the COVID-19 Crisis
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2019

  1. Assessing the Price Impact of Treasury Market Workups
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. Creditor Recovery in Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Customer and Employee Losses in Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Dealer Participation in the TSLF Options Program
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  5. How Much Value Was Destroyed by the Lehman Bankruptcy?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  6. Lehman's Bankruptcy Expenses
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  7. The Indirect Costs of Lehman’s Bankruptcy
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  8. 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)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) Downloads
  2. Dealer Trading and Positioning in Floating Rate Notes
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Do You Know How Your Treasury Trades Are Cleared and Settled?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Liquidity and volatility in the U.S. treasury market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (10)
    See also Journal Article in Journal of Econometrics (2020)
  5. Options of Last Resort
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  6. Price Impact of Trades and Orders in the U.S. Treasury Securities Market
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  7. U.S. Treasury Market Action on Election Night 2016
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  8. Unlocking the Treasury Market through TRACE
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (1)
    Also in FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2018) Downloads View citations (1)

2017

  1. Advent of Trade Reporting for U.S. Treasury Securities
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. An index of Treasury Market liquidity: 1991-2017
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (2)
  3. Market Liquidity after the Financial Crisis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2017) Downloads View citations (6)
    Staff Reports, Federal Reserve Bank of New York (2016) Downloads View citations (28)

    See also Journal Article in Annual Review of Financial Economics (2017)
  4. Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2016

  1. A Closer Look at the Federal Reserve’s Securities Lending Program
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. Characterizing the Rising Settlement Fails in Seasoned Treasury Securities
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Continuing the Conversation on Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Corporate Bond Market Liquidity Redux: More Price-Based Evidence
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  5. Did Third Avenue's Liquidation Reduce Corporate Bond Market Liquidity?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  6. Has MBS Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  7. Intraday market making with overnight inventory costs
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
  8. Is Treasury Market Liquidity Becoming More Concentrated
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  9. Primary Dealer Participation in the Secondary U.S. Treasury Market
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  10. 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)
  11. Trading activity in the Indian government bond market
    Staff Reports, Federal Reserve Bank of New York Downloads
  12. What’s behind the March Spike in Treasury Fails?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2015

  1. Changes in the Returns to Market Making
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. Dealers’ Positions and the Auction Cycle
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Has Liquidity Risk in the Corporate Bond Market Increased?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (1)
  4. Has Liquidity Risk in the Treasury and Equity Markets Increased?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (1)
  5. Has U.S. Treasury Market Liquidity Deteriorated?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  6. Introduction to a Series on Market Liquidity
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  7. Introduction to a Series on Market Liquidity: Part 2
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  8. 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)
    See also Journal Article in Review of Asset Pricing Studies (2019)
  9. Redemption Risk of Bond Mutual Funds and Dealer Positioning
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  10. The Evolution of Workups in the U.S. Treasury Securities Market
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  11. What's Driving Dealer Balance Sheet Stagnation?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2014

  1. At the N.Y. Fed: Workshop on the Risks of Wholesale Funding
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. 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)
  3. 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)
  4. Measuring Settlement Fails
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  5. The Failure Resolution of Lehman Brothers
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
    See also Journal Article in Economic Policy Review (2013)
  6. What Explains the June Spike in Treasury Settlement Fails?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

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 (6)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2013) Downloads View citations (2)
  2. How Liquid Is the Inflation Swap Market?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Information on Dealer Activity in Specific Treasury Issues Now Available
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Primary Dealers’ Waning Role in Treasury Auctions
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (1)
  5. The Microstructure of China's Government Bond Market
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
  6. The Recent Bond Market Selloff in Historical Perspective
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  7. The SOMA Portfolio through Time
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  8. Transparency and Sources of Information on the Federal Reserve’s Operations, Income, and Balance Sheet
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  9. What if? A Counterfactual SOMA Portfolio
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

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. Failure Is No Longer a (Free) Option for Agency Debt and Mortgage-Backed Securities
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. Federal Reserve liquidity provision during the financial crisis of 2007-2009
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (21)
    See also Journal Article in Annual Review of Financial Economics (2012)
  4. The Impact of Trade Reporting on the Interest Rate Derivatives Market
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2011

  1. An analysis of CDS transactions: implications for public reporting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (29)
  2. How Might Increased Transparency Affect the CDS Market?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. 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 (33)
    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 (43)
    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 (144)
    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

2020

  1. Liquidity and volatility in the U.S. Treasury market
    Journal of Econometrics, 2020, 217, (2), 207-229 Downloads
    See also Working Paper (2018)

2019

  1. Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market
    Review of Asset Pricing Studies, 2019, 9, (2), 256-295 Downloads
    See also Working Paper (2015)

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 (8)
    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 (9)
    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, (Dec), 175-206 Downloads View citations (2)
    See also Working Paper (2014)
  2. Trading activity and price transparency in the inflation swap market
    Economic Policy Review, 2013, 19, (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 (15)
    See also Working Paper (2012)
  2. The microstructure of the TIPS market
    Economic Policy Review, 2012, 18, (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, 17, (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 (41)
    See also Working Paper (2010)
  2. The Federal Reserve's foreign exchange swap lines
    Current Issues in Economics and Finance, 2010, 16, (Apr) Downloads View citations (17)

2009

  1. The Term Securities Lending Facility: origin, design, and effects
    Current Issues in Economics and Finance, 2009, 15, (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, 13, (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, 11, (Sep) Downloads View citations (12)
  3. What financing data reveal about dealer leverage
    Current Issues in Economics and Finance, 2005, 11, (Mar) Downloads View citations (26)

2004

  1. Repurchase agreements with negative interest rates
    Current Issues in Economics and Finance, 2004, 10, (Apr) Downloads View citations (14)

2003

  1. Measuring treasury market liquidity
    Economic Policy Review, 2003, (Sep), 83-108 Downloads View citations (124)
    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 (41)
    Also in Proceedings, 2002, 707-739 (2002) View citations (44)

    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, 8, (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 (248)

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, 3, (Jul), 9-32 Downloads View citations (54)
  2. What moves the bond market?
    Economic Policy Review, 1997, 3, (Dec), 31-50 Downloads View citations (117)
    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)
 
Page updated 2020-08-05