Michael J. Fleming : Citation Profile


Are you Michael J. Fleming?

Federal Reserve Bank of New York (50% share)
Federal Reserve Bank of New York (50% share)

18

H index

26

i10 index

1297

Citations

RESEARCH PRODUCTION:

28

Articles

97

Papers

1

Chapters

RESEARCH ACTIVITY:

   26 years (1995 - 2021). See details.
   Cites by year: 49
   Journals where Michael J. Fleming has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 30 (2.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfl35
   Updated: 2021-06-07    RAS profile: 2021-04-18    
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Relations with other researchers


Works with:

Sarkar, Asani (10)

Adrian, Tobias (8)

Shachar, Or (8)

Vogt, Erik (5)

Puglia, Michael (4)

Hrung, Warren (3)

Van Tassel, Peter (2)

Mizrach, Bruce (2)

Schaumburg, Ernst (2)

Acharya, Viral (2)

Rodrigues, Anthony (2)

De Pooter, Michiel (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael J. Fleming.

Is cited by:

Adrian, Tobias (21)

Sarkar, Asani (17)

Dungey, Mardi (13)

Smales, Lee (13)

Fratzscher, Marcel (13)

Neely, Christopher (12)

Ehrmann, Michael (12)

Hautsch, Nikolaus (12)

Andersen, Torben (12)

Mizrach, Bruce (11)

Vega, Clara (11)

Cites to:

Adrian, Tobias (19)

Remolona, Eli (16)

Garbade, Kenneth (13)

Poterba, James (10)

Shachar, Or (10)

Engle, Robert (9)

Duffie, Darrell (8)

Mizrach, Bruce (8)

Venti, Steven (8)

Wise, David (7)

Hautsch, Nikolaus (7)

Main data


Where Michael J. Fleming has published?


Journals with more than one article published# docs
Economic Policy Review8
Current Issues in Economics and Finance7
Journal of Financial Markets2

Working Papers Series with more than one paper published# docs
Liberty Street Economics / Federal Reserve Bank of New York58
Staff Reports / Federal Reserve Bank of New York27
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)3
Research Paper / Federal Reserve Bank of New York3
Research Technical Papers / Central Bank of Ireland2

Recent works citing Michael J. Fleming (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Banking sector and bank liquidity – key actors within financial crises?. (2020). Ciurel, Adriana Daniela ; DUN, Florin Alexandru ; Niescu, Dan Costin. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(623):y:2020:i:2(623):p:147-168.

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2021Optimal Bookmaking. (2019). Zou, Bin ; Zhou, Zhou ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1907.01056.

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2020On bid and ask side-specific tick sizes. (2020). Rosenbaum, Mathieu ; Derchu, Joffrey ; Bergault, Philippe ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:2005.14126.

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2021Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts. (2021). Yu, Chuyi ; Jos'e E. Figueroa-L'opez, ; Capponi, Agostino. In: Papers. RePEc:arx:papers:2101.03086.

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2020The regulatory cycle in banking: what lessons from the U.S. experience? (from the Dodd-Frank Act to Covid-19). (2020). Trapanese, Maurizio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_585_20.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). He, Zhiguo ; Nagel, Stefan ; Song, Zhaogang. In: Working Papers. RePEc:bfi:wpaper:2020-79.

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2021Sovereign credit and exchange rate risks: evidence from Asia-Pacific local currency bonds. (2021). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:918.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2020Do ETF flows increase market efficiency? Evidence from China. (2020). Xu, Liao ; Chen, Jilong ; Zhao, Yang. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:5:p:4795-4819.

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2021The effect of treasury auctions on 10?year Treasury note futures. (2021). Smales, Lee. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:s1:p:1517-1555.

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2020The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644.

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2020Market Structure and Transaction Costs of Index CDSs. (2020). Collindufresne, Pierre ; Trolle, Anders B ; Junge, Benjamin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2719-2763.

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2020WHAT HAPPENED TO THE WILLINGNESS OF COMPANIES TO INVEST AFTER THE FINANCIAL CRISIS? EVIDENCE FROM LATIN AMERICAN COUNTRIES. (2020). del Rocio, Maria ; Yildiz, Yilmaz ; YilmazYildiz, ; Santillansalgado, Roberto J ; Ozkan, Aydin. In: Journal of Financial Research. RePEc:bla:jfnres:v:43:y:2020:i:2:p:231-262.

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2020Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871.

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2020Its What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities. (2020). Kovner, Anna ; Boyarchenko, Nina ; Shachar, OR. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8679.

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2020Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

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2020Pricing equity-bond covariance risk: Between flight-to-quality and fear-of-missing-out. (2020). Wagner, Niklas ; Perras, Patrizia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301779.

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2021Sovereign illiquidity and recessions.. (2021). Gutkowski, Violeta A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301974.

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2020The Reserve Bank of Australia’s policy actions and balance sheet. (2020). Debelle, Guy. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:285-295.

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2020Is market liquidity less resilient after the financial crisis? Evidence for US Treasuries. (2020). Broto, Carmen ; Lamas, Matias. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:217-229.

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2020Interconnectedness and systemic risk in the US CDS market. (2020). Kanno, Masayasu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940817304047.

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2020Japan’s impactful augmentation of quantitative easing sovereign-bond purchases. (2020). Inaba, Kei-Ichiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301492.

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2020Volatility interdependence on foreign exchange markets: The contribution of cross-rates. (2020). Kinkyo, Takuji. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301807.

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2021A model of endogenous direct and indirect asset liquidity. (2021). Carlos, Dillon ; Lee, Seungduck ; Mo, Kuk ; Geromichalos, Athanasios. In: European Economic Review. RePEc:eee:eecrev:v:132:y:2021:i:c:s0014292120302579.

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2020High-frequency trading and institutional trading costs. (2020). Garriott, Corey ; Chen, Marie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:74-93.

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2020Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions. (2020). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:96-120.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

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2020The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039.

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2020Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288.

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2020The run on repo and the Fed’s response. (2020). Laarits, Toomas ; Gorton, Gary ; Metrick, Andrew. In: Journal of Financial Stability. RePEc:eee:finsta:v:48:y:2020:i:c:s157230892030022x.

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2020A cautionary tale of two extremes: The provision of government liquidity support in the banking sector. (2020). Wu, Eliza ; Scheule, Harald ; Bui, Christina. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300838.

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2021Effects of the international regulatory reforms over market liquidity of Mexican sovereign debt. (2021). Romero, Alberto ; Lord, Stefano ; Lopez-Gallo, Fabrizio ; Lara, Jose Luis. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301091.

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2021Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?. (2021). Smales, Lee. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320301162.

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2020Estimating the term structure of corporate bond liquidity premiums: An analysis of default free bank bonds. (2020). Stock, Duane ; Stanhouse, Bryan ; Leal, Diego . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301013.

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2020Cross-border transmission of emergency liquidity. (2020). Koetter, Michael ; Kick, Thomas ; Storz, Manuela. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426618300384.

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2020On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455.

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2021The FOMC announcement returns on long-term US and German bond futures. (2021). Tse, Yiuman ; Jiao, Feng ; Indriawan, Ivan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302880.

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2020Why does public news augment information asymmetries?. (2020). Crego, Julio A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:72-89.

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2020The importance of being special: Repo markets during the crisis. (2020). Maddaloni, Angela ; Corradin, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:392-429.

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2020Emergency loans and collateral upgrades: How broker-dealers used Federal Reserve credit during the 2008 financial crisis. (2020). Carlson, Mark ; Macchiavelli, Marco. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:701-722.

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2020The scarcity effect of QE on repo rates: Evidence from the euro area. (2020). Vari, Miklos ; Rahmouni-Rousseau, Imene ; Nguyen, Benoit ; Arrata, William. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:837-856.

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2021Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang. (2021). Zhong, Zhaodong ; Yan, Hongjun ; Wu, Yangru ; Wang, Xinjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:545-560.

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2020Bank capital allocation under multiple constraints. (2020). Lewrick, Ulf ; Tarashev, Nikola ; Goel, Tirupam. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:44:y:2020:i:c:s1042957319300609.

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2021Monetary policy uncertainty and monetary policy surprises. (2021). Modugno, Michele ; Favara, Giovanni ; de Pooter, Michiel ; Wu, Jason. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:112:y:2021:i:c:s0261560620302795.

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2020Nudging: Progress to date and future directions. (2020). Kosowsky, Harry ; Beshears, John. In: Organizational Behavior and Human Decision Processes. RePEc:eee:jobhdp:v:161:y:2020:i:s:p:3-19.

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2021Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19. (2021). Malliaris, A G ; Bhar, Ramaprasad. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:15-33.

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2020Starting from a blank page? Semantic similarity in central bank communication and market volatility. (2020). Ehrmann, Michael ; Talmi, Jonathan . In: Journal of Monetary Economics. RePEc:eee:moneco:v:111:y:2020:i:c:p:48-62.

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2021The federal funds network and monetary policy transmission: Evidence from the 2007–2009 financial crisis. (2021). Beltran, Daniel ; Klee, Elizabeth ; Bolotnyy, Valentin . In: Journal of Monetary Economics. RePEc:eee:moneco:v:117:y:2021:i:c:p:187-202.

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2020Seasonal liquidity effects and their determinants on the covered bond market. (2020). Weigerding, Michael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:288-303.

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2020Natural gas price, market fundamentals and hedging effectiveness. (2020). Zhu, Zhen ; Chen, Sheng-Hung ; Chiou-Wei, Song-Zan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:321-337.

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2020Whose trades move stock prices? Evidence from the Taiwan Stock Exchange. (2020). Lin, Zong-Wei ; Hung, Pi-Hsia ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:25-50.

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2021The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks. (2021). Racicot, François-Éric ; Gregoriou, Greg N ; Theoret, Raymond. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:289-318.

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2021Unusual investor behavior under tacit and endogenous market signals. (2021). Wang, Susheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:76-97.

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2020Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024.

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2021Collateralized networks. (2020). Young, Hobart ; Glasserman, Paul ; Ghamami, Samim. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:107496.

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2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

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2020Monetary Policy Uncertainty and Monetary Policy Surprises. (2020). Wu, Jason ; Modugno, Michele ; Favara, Giovanni ; De Pooter, Michiel. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-32.

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2020Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers. (2020). Puglia, Michael ; Harkrader, James Collin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-96.

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2021Monetary policy and the corporate bond market: How important is the Fed information effect?. (2021). Suarez, Gustavo ; Smolyansky, Michael. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-10.

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2021COVID-19 as a Stress Test: Assessing the Bank Regulatory Framework. (2021). Wix, Carlo ; Wang, Ke ; Warusawitharana, Missaka ; Mooney, Timothy ; Martinez, Francis ; Loudis, Bert ; Iercosan, Diana A ; Horvath, Akos ; Duncan, Elizabeth ; Abboud, Alice ; Ranish, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-24.

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2020Cash-Forward Arbitrage and Dealer Capital in MBS Markets: COVID-19 and Beyond ves. (2020). SONG, ZHAOGANG ; Sarkar, Asani ; Liu, Haoyang ; Chen, Jiakai. In: Staff Reports. RePEc:fip:fednsr:88380.

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2020It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities. (2020). Shachar, Or ; Kovner, Anna ; Boyarchenko, Nina. In: Staff Reports. RePEc:fip:fednsr:88407.

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2021Integration and Disintegration of EMU Government Bond Markets. (2021). Sibbertsen, Philipp ; Voges, Michelle ; Leschinski, Christian. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:1:p:13-:d:517289.

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2020Intermediation in Over-the-Counter Markets with Price Transparency. (2020). Kospentaris, Ioannis ; Gabrovski, Miroslav. In: Working Papers. RePEc:hai:wpaper:202017.

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2020Fuel up with OATmeals! The case of the French nominal yield curve. (2020). Moraux, Franck ; Grishchenko, Olesya ; Pakulyak, Olga. In: Post-Print. RePEc:hal:journl:halshs-02980563.

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2020Credit Risk, Liquidity, and Lies. (2020). King, Thomas ; Lewis, Kurt F. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:4:a:6.

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2020How Fast Should Trades Settle?. (2020). Zoican, Marius ; Khapko, Mariana. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:10:p:4573-4593.

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2020Age of Decision: Pension Savings Withdrawal and Consumption and Debt Response. (2020). Qian, Wenlan ; Pan, Jessica ; Agarwal, Sumit. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:43-69.

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2021The joint cross section of stocks and options. (2021). Subrahmanyam, Avanidhar ; Muravyev, Dmitriy ; Kurov, Alexander ; Chordia, Tarun. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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2020Bond Losses and Systemic Risk. (2020). Yoshimoto, Hisayuki ; Yang, Liyu ; de Silva, Dakshina ; Barbosa, Klenio. In: Working Papers. RePEc:lan:wpaper:288072615.

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2020Measuring the Perceived Liquidity of the Corporate Bond Market. (2020). Sunderam, Adi ; Chernenko, Sergey. In: NBER Working Papers. RePEc:nbr:nberwo:27092.

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2020An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies. (2020). Rebucci, Alessandro ; Hartley, Jonathan S. In: NBER Working Papers. RePEc:nbr:nberwo:27339.

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2020Treasury Inconvenience Yields during the COVID-19 Crisis. (2020). Nagel, Stefan ; He, Zhiguo ; Song, Zhaogang. In: NBER Working Papers. RePEc:nbr:nberwo:27416.

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2020Sovereign Credit and Exchange Rate Risks: Evidence from Asia-Pacific Local Currency Bonds. (2020). Hördahl, Peter ; Creal, Drew ; Chernov, Mikhail ; Hordahl, Peter. In: NBER Working Papers. RePEc:nbr:nberwo:27500.

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2020Central bank responses to COVID-19. (2020). Mosser, Patricia C. In: Business Economics. RePEc:pal:buseco:v:55:y:2020:i:4:d:10.1057_s11369-020-00189-x.

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2020Liquidity of China’s Government Bond Market: Measures and Driving Forces. (2020). Miao, Hui ; Han, Gaofeng ; Wang, Yabin. In: MPRA Paper. RePEc:pra:mprapa:104545.

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2020Liquidity Premium, Credit Costs, and Optimal Monetary Policy. (2020). Lee, Sukjoon. In: MPRA Paper. RePEc:pra:mprapa:104825.

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2021Optimal interventions on strategic fails in repo markets. (2021). Fukai, Hiroki. In: MPRA Paper. RePEc:pra:mprapa:106090.

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2020The Moses effect: can central banks really guide foreign exchange markets?. (2020). Roy Trivedi, Smita. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-019-01671-y.

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2020Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects. (2020). Orlowski, Lucjan T ; Chomicz-Grabowska, Agnieszka M. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:44:y:2020:i:4:d:10.1007_s12197-020-09505-9.

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2021The social management of complex uncertainty: Central Bank similarity and crisis liquidity swaps at the Federal Reserve. (2021). Marple, Tim. In: The Review of International Organizations. RePEc:spr:revint:v:16:y:2021:i:2:d:10.1007_s11558-020-09378-x.

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2020Essays in Empirical Asset Pricing and International Finance. (2020). Niu, Zilong. In: Other publications TiSEM. RePEc:tiu:tiutis:986cefd5-4d2b-4d5f-be7a-2feea364f87a.

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2020Information Leakage in Energy Derivatives around News Announcements. (2020). Patel, Vinay ; Bohmann, Marc. In: Published Paper Series. RePEc:uts:ppaper:2020-2.

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2020Impact of algorithmic trading on speed of adjustment to new information: Evidence from interest rate derivatives. (2020). Garcia, Michael ; Frino, Alex ; Zhou, Zeyang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:749-760.

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2021A structural investigation of quantitative easing. (2021). Goy, Gavin ; Bohl, Gregor ; Strobel, Felix. In: Discussion Papers. RePEc:zbw:bubdps:012021.

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2020A structural investigation of quantitative easing. (2020). Strobel, Felix ; Goy, Gavin ; Bohl, Gregor. In: IMFS Working Paper Series. RePEc:zbw:imfswp:142.

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2020OTC discount. (2020). Monch, Emanuel ; de Roure, Calebe ; Schneider, Michael ; Pelizzon, Loriana. In: SAFE Working Paper Series. RePEc:zbw:safewp:298.

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2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

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2020The leverage ratio and liquidity in the gilt and gilt repo markets. (2020). Elliott, David ; Bicu-Lieb, Andreea ; Chen, Louisa. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s1386418118302039.

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Works by Michael J. Fleming:


YearTitleTypeCited
2010Repo Market Effects of the Term Securities Lending Facility In: American Economic Review.
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article52
2010Repo market effects of the Term Securities Lending Facility.(2010) In: Staff Reports.
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This paper has another version. Agregated cites: 52
paper
2012Federal Reserve Liquidity Provision during the Financial Crisis of 2007–2009 In: Annual Review of Financial Economics.
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article26
2012Federal Reserve liquidity provision during the financial crisis of 2007-2009.(2012) In: Staff Reports.
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This paper has another version. Agregated cites: 26
paper
1999Liquidity in U.S. Treasury Spot and Futures Markets In: CGFS Papers chapters.
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chapter8
1999The term structure of announcement effects In: BIS Working Papers.
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paper41
1999The term structure of announcement effects.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 41
paper
1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information In: Journal of Finance.
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article260
2005ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS* In: Journal of Financial Research.
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article4
2004Anomalous bidding in short-term Treasury bill auctions.(2004) In: Staff Reports.
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This paper has another version. Agregated cites: 4
paper
2014ECB Monetary Operations and the Interbank Repo Market In: Research Technical Papers.
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paper9
2013ECB monetary operations and the interbank repo market.(2013) In: Staff Reports.
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This paper has another version. Agregated cites: 9
paper
2011Repo Market Microstructure in Unusual Monetary Policy Conditions In: Research Technical Papers.
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paper8
2017Market Liquidity after the Financial Crisis In: CEPR Discussion Papers.
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paper53
2017Market Liquidity after the Financial Crisis.(2017) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 53
paper
2016Market liquidity after the financial crisis.(2016) In: Staff Reports.
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This paper has another version. Agregated cites: 53
paper
2020Liquidity and volatility in the U.S. Treasury market In: Journal of Econometrics.
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article12
2012Liquidity and volatility in the U.S. treasury market.(2012) In: Staff Reports.
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This paper has another version. Agregated cites: 12
paper
2018The microstructure of a U.S. Treasury ECN: The BrokerTec platform In: Journal of Financial Markets.
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article22
2009The microstructure of a U.S. Treasury ECN: the BrokerTec platform.(2009) In: Staff Reports.
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This paper has another version. Agregated cites: 22
paper
2008The Microstructure of a U.S. Treasury ECN: The Brokertec Platform.(2008) In: Departmental Working Papers.
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This paper has another version. Agregated cites: 22
paper
2020Intraday market making with overnight inventory costs In: Journal of Financial Markets.
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article4
2016Intraday market making with overnight inventory costs.(2016) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2017Dealer financial conditions and lender-of-last-resort facilities In: Journal of Financial Economics.
[Full Text][Citation analysis]
article28
2014Dealer financial conditions and lender-of-last resort facilities.(2014) In: Staff Reports.
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This paper has another version. Agregated cites: 28
paper
2007Dealer behavior in the specials market for US Treasury securities In: Journal of Financial Intermediation.
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article9
2002Are larger Treasury issues more liquid? Evidence from bill reopenings In: Proceedings.
[Citation analysis]
article50
2002Are larger Treasury issues more liquid? Evidence from bill reopenings.(2002) In: Staff Reports.
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This paper has another version. Agregated cites: 50
paper
2002Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings..(2002) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 50
article
1999Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market In: Working Papers in Applied Economic Theory.
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paper11
1999Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 11
paper
2013Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed Income Markets In: FEDS Notes.
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paper8
2013Dealer Balance Sheet Capacity and Market Liquidity during the 2013 Selloff in Fixed-Income Markets.(2013) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 8
paper
2018Unlocking the Treasury Market through TRACE In: FEDS Notes.
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paper3
2018Unlocking the Treasury Market through TRACE.(2018) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 3
paper
2018Breaking Down TRACE Volumes Further In: FEDS Notes.
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paper3
2018Breaking Down TRACE Volumes Further.(2018) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 3
paper
2004Repurchase agreements with negative interest rates In: Current Issues in Economics and Finance.
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article14
2005What financing data reveal about dealer leverage In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article24
2005Explaining settlement fails In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article15
2007Who buys Treasury securities at auction? In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article11
2009The Term Securities Lending Facility: origin, design, and effects In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article31
2010The Federal Reserves foreign exchange swap lines In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article18
2011Income effects of Federal Reserve liquidity facilities In: Current Issues in Economics and Finance.
[Full Text][Citation analysis]
article2
2013The failure resolution of Lehman Brothers In: Economic Policy Review.
[Full Text][Citation analysis]
article4
2014The Failure Resolution of Lehman Brothers.(2014) In: Liberty Street Economics.
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This paper has another version. Agregated cites: 4
paper
1997What moves the bond market? In: Economic Policy Review.
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article145
1997What moves the bond market?.(1997) In: Research Paper.
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This paper has another version. Agregated cites: 145
paper
1997The round-the-clock market for U.S. Treasury securities In: Economic Policy Review.
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article40
2000The benchmark U.S. Treasury market: recent performance and possible alternatives In: Economic Policy Review.
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article23
2002When the back office moved to the front burner: settlement fails in the treasury market after 9/11 In: Economic Policy Review.
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article20
2003Measuring treasury market liquidity In: Economic Policy Review.
[Full Text][Citation analysis]
article151
2001Measuring treasury market liquidity.(2001) In: Staff Reports.
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This paper has another version. Agregated cites: 151
paper
2012The microstructure of the TIPS market In: Economic Policy Review.
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article13
2009The microstructure of the TIPS market.(2009) In: Staff Reports.
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This paper has another version. Agregated cites: 13
paper
2013Trading activity and price transparency in the inflation swap market In: Economic Policy Review.
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article5
2011How Might Increased Transparency Affect the CDS Market? In: Liberty Street Economics.
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paper0
2012Failure Is No Longer a (Free) Option for Agency Debt and Mortgage-Backed Securities In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2012The Impact of Trade Reporting on the Interest Rate Derivatives Market In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2013Primary Dealers’ Waning Role in Treasury Auctions In: Liberty Street Economics.
[Full Text][Citation analysis]
paper2
2013How Liquid Is the Inflation Swap Market? In: Liberty Street Economics.
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paper0
2013The Recent Bond Market Selloff in Historical Perspective In: Liberty Street Economics.
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paper0
2013The SOMA Portfolio through Time In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2013What if? A Counterfactual SOMA Portfolio In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2013Transparency and Sources of Information on the Federal Reserve’s Operations, Income, and Balance Sheet In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2013Information on Dealer Activity in Specific Treasury Issues Now Available In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2014At the N.Y. Fed: Workshop on the Risks of Wholesale Funding In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2014What Explains the June Spike in Treasury Settlement Fails? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2014Measuring Settlement Fails In: Liberty Street Economics.
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paper1
2015Introduction to a Series on Market Liquidity In: Liberty Street Economics.
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paper0
2015Has U.S. Treasury Market Liquidity Deteriorated? In: Liberty Street Economics.
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paper2
2015The Evolution of Workups in the U.S. Treasury Securities Market In: Liberty Street Economics.
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paper0
2015Whats Driving Dealer Balance Sheet Stagnation? In: Liberty Street Economics.
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paper4
2015Introduction to a Series on Market Liquidity: Part 2 In: Liberty Street Economics.
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paper0
2015Has Liquidity Risk in the Treasury and Equity Markets Increased? In: Liberty Street Economics.
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paper4
2015Has Liquidity Risk in the Corporate Bond Market Increased? In: Liberty Street Economics.
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paper4
2015Changes in the Returns to Market Making In: Liberty Street Economics.
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paper0
2015Redemption Risk of Bond Mutual Funds and Dealer Positioning In: Liberty Street Economics.
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paper2
2015Dealers’ Positions and the Auction Cycle In: Liberty Street Economics.
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paper0
2016Characterizing the Rising Settlement Fails in Seasoned Treasury Securities In: Liberty Street Economics.
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paper0
2016Has MBS Market Liquidity Deteriorated? In: Liberty Street Economics.
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paper0
2016Continuing the Conversation on Liquidity In: Liberty Street Economics.
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paper0
2016Corporate Bond Market Liquidity Redux: More Price-Based Evidence In: Liberty Street Economics.
[Full Text][Citation analysis]
paper1
2016Is Treasury Market Liquidity Becoming More Concentrated In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2016Primary Dealer Participation in the Secondary U.S. Treasury Market In: Liberty Street Economics.
[Full Text][Citation analysis]
paper1
2016Did Third Avenues Liquidation Reduce Corporate Bond Market Liquidity? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2016What’s behind the March Spike in Treasury Fails? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2016A Closer Look at the Federal Reserve’s Securities Lending Program In: Liberty Street Economics.
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paper0
2017Advent of Trade Reporting for U.S. Treasury Securities In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2017Which Dealers Borrowed from the Fed’s Lender-of-Last-Resort Facilities? In: Liberty Street Economics.
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paper0
2018Options of Last Resort In: Liberty Street Economics.
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paper0
2018Dealer Trading and Positioning in Floating Rate Notes In: Liberty Street Economics.
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paper0
2018Do You Know How Your Treasury Trades Are Cleared and Settled? In: Liberty Street Economics.
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paper0
2018U.S. Treasury Market Action on Election Night 2016 In: Liberty Street Economics.
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paper0
2018Price Impact of Trades and Orders in the U.S. Treasury Securities Market In: Liberty Street Economics.
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paper0
2019Creditor Recovery in Lehman’s Bankruptcy In: Liberty Street Economics.
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paper0
2019How Much Value Was Destroyed by the Lehman Bankruptcy? In: Liberty Street Economics.
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paper0
2019Lehmans Bankruptcy Expenses In: Liberty Street Economics.
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paper0
2019Customer and Employee Losses in Lehman’s Bankruptcy In: Liberty Street Economics.
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paper0
2019The Indirect Costs of Lehman’s Bankruptcy In: Liberty Street Economics.
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paper0
2019Dealer Participation in the TSLF Options Program In: Liberty Street Economics.
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paper0
2019Assessing the Price Impact of Treasury Market Workups In: Liberty Street Economics.
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paper1
2020How Does Tick Size Affect Treasury Market Quality? In: Liberty Street Economics.
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paper0
2020The COVID-19 Pandemic and the Fed’s Response In: Liberty Street Economics.
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paper3
2020Treasury Market Liquidity during the COVID-19 Crisis In: Liberty Street Economics.
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paper1
2020Treasury Market Liquidity and the Federal Reserve during the COVID-19 Pandemic In: Liberty Street Economics.
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paper2
2020How Liquid Is the New 20-Year Treasury Bond? In: Liberty Street Economics.
[Full Text][Citation analysis]
paper0
2020How Does the Liquidity of New Treasury Securities Evolve? In: Liberty Street Economics.
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paper0
2020Treasury Market When-Issued Trading Activity In: Liberty Street Economics.
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paper0
1995New evidence on the effectiveness of the proxy mechanism In: Research Paper.
[Full Text][Citation analysis]
paper0
1996Price formation and liquidity in the U.S. treasuries market: evidence from intraday patterns around announcements In: Research Paper.
[Full Text][Citation analysis]
paper5
2001Financial market implications of the federal debt paydown In: Staff Reports.
[Full Text][Citation analysis]
paper14
1997Price formation and liquidity in the U.S. Treasury market: evidence from intraday patterns around announcements In: Staff Reports.
[Full Text][Citation analysis]
paper9
2007How do treasury dealers manage their positions? In: Staff Reports.
[Full Text][Citation analysis]
paper11
1998How workers use 401(k) plans: the participation, contribution, and withdrawal decisions In: Staff Reports.
[Full Text][Citation analysis]
paper50
1998How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions.(1998) In: National Tax Journal.
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This paper has another version. Agregated cites: 50
article
2011An analysis of CDS transactions: implications for public reporting In: Staff Reports.
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paper34
2012An analysis of OTC interest rate derivatives transactions: implications for public reporting In: Staff Reports.
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paper5
2013The Microstructure of Chinas Government Bond Market In: Staff Reports.
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paper4
2013Price and size discovery in financial markets: evidence from the U.S. Treasury securities market In: Staff Reports.
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paper3
2019Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market.(2019) In: Review of Asset Pricing Studies.
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This paper has another version. Agregated cites: 3
article
2016Trading activity in the Indian government bond market In: Staff Reports.
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1995Preserving firm value through exit: the case of voluntary liquidations In: Staff Reports.
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paper1
2017An index of Treasury Market liquidity: 1991-2017 In: Staff Reports.
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paper6
2019Tick size change and market quality in the U.S. treasury market In: Staff Reports.
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paper0
2021The Netting Efficiencies of Marketwide Central Clearing In: Staff Reports.
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