http://www.bis.org/cbhub/list/author/author_5826/index.rss Research hub papers by author Michael J. Fleming en http://www.newyorkfed.org/research/staff_reports/sr563.pdf New York Fed Staff reports by Michael J. Fleming Federal Reserve Liquidity Provision during the Financial Crisis of 2007-2009 2012-11-30T17:38:00Z This paper examines the Federal Reserve's unprecedented liquidity provision during the financial crisis of 2007-2009. It first reviews how the Fed provides liquidity in normal times. It then explains how the Fed's new and expanded liquidity facilities were intended to enable the central bank to fulfill its traditional lender-of-last-resort role during the crisis while mitigating stigma, broadening the set of institutions with access to liquidity, and increasing the flexibility with which institutions could tap such liquidity. The paper then assesses the growing empirical literature on the effectiveness of the facilities and provides insights as to where further research is warranted. Federal Reserve Liquidity Provision during the Financial Crisis of 2007-2009 2012-11-30T17:38:00Z Abstract http://www.newyorkfed.org/research/staff_reports/sr563.html Full text http://www.newyorkfed.org/research/staff_reports/sr563.pdf Michael J. Fleming Michael J. Fleming 2012-07 New York Fed Staff reports http://www.newyorkfed.org/research/epr/12v18n1/1203flem.pdf New York Fed Economic policy review by Michael J. Fleming and Neel Krishnan The Microstructure of the TIPS Market 2012-04-14T06:23:00Z The potential advantages from the introduction of Treasury inflation-protected securities (TIPS) in 1997 have not been fully realized, mainly because TIPS are less liquid than nominal Treasury securities. The lack of liquidity is thought to adversely affect TIPS prices relative to prices of nominal securities, offsetting the benefits that come from TIPS having no inflation risk. Despite the importance of TIPS liquidity and the market's large size, there is virtually no quantitative evidence on the securities' liquidity. This article sheds light on this phenomenon using novel tick data from the interdealer market. The authors identify several features of the TIPS market also present in the nominal securities market, but some unique features as well. As in the nominal market, there is a marked difference in trading activity between the most recently issued ("on-the-run") and previously issued ("off-the-run") securities, as trading drops sharply when securities go off the run. In contrast to the nominal market, there is little difference in bid-ask spreads or quoted depth between these securities, but there is a difference in the incidence of posted quotes. These results suggest that trading activity and quote incidence may be better cross-sectional measures of liquidity in the TIPS market than bid-ask spreads or quoted depth. Intraday patterns of trading activity are broadly similar in both markets, but TIPS activity peaks somewhat later, likely reflecting differences in the use and ownership of these securities. Announcement effects also differ between markets, with TIPS auction results and CPI releases eliciting particularly strong increases in trading activity, likely indicating these announcements' special importance to TIPS valuation. The Microstructure of the TIPS Market 2012-04-14T06:23:00Z Abstract http://www.newyorkfed.org/research/epr/12v18n1/1203flem.html Full text http://www.newyorkfed.org/research/epr/12v18n1/1203flem.pdf Michael J. Fleming Neel Krishnan Michael J. Fleming and Neel Krishnan 2012-03 New York Fed Economic policy review http://www.financialregulator.ie/publications/Documents/08RT11.pdf Central Bank and Financial Services Authority of Ireland Research Technical Papers by Peter G. Dunne, Michael J. Fleming and Andrey Zholos Repo Market Microstructure in Unusual Monetary Policy Conditions 2011-04-18T17:36:59Z Repo Market Microstructure in Unusual Monetary Policy Conditions 2011-04-18T17:36:59Z Full text http://www.financialregulator.ie/publications/Documents/08RT11.pdf Michael J. Fleming Andrey Zholos Peter G. Dunne Peter G. Dunne, Michael J. Fleming and Andrey Zholos 2011-03-28 Central Bank of Ireland Research Technical Papers http://www.newyorkfed.org/research/current_issues/ci17-1.html New York Fed Current issues by Michael J. Fleming and Nicholas J. Klagge Income Effects of Federal Reserve Liquidity Facilities 2011-02-26T06:21:00Z Income Effects of Federal Reserve Liquidity Facilities 2011-02-26T06:21:00Z Abstract http://www.newyorkfed.org/research/current_issues/ci17-1.html Nicholas J. Klagge Michael J. Fleming Michael J. Fleming and Nicholas J. Klagge 2011-02-16 New York Fed Current issues http://www.newyorkfed.org/research/current_issues/ci16-4.pdf New York Fed Current issues by Michael J. Fleming and Nicholas J. Klagge The Federal Reserve's Foreign Exchange Swap Lines 2010-05-05T12:43:59Z The financial crisis that began in August 2007 disrupted U.S. dollar funding markets not only in the United States but also overseas. To address funding pressures internationally, the Federal Reserve introduced a system of reciprocal currency arrangements, or “swap lines,” with other central banks. The swap line program, which ended early this year, enhanced the ability of these central banks to provide U.S. dollar funding to financial institutions in their jurisdictions. The Federal Reserve's Foreign Exchange Swap Lines 2010-05-05T12:43:59Z Abstract http://www.newyorkfed.org/research/current_issues/ci16-4.html Full text http://www.newyorkfed.org/research/current_issues/ci16-4.pdf Michael J. Fleming Nicholas J. Klagge Michael J. Fleming and Nicholas J. Klagge 2010-04-10 New York Fed Current issues http://www.newyorkfed.org/research/staff_reports/sr426.pdf New York Fed Staff reports by Michael J. Fleming, Warren B. Hrung, and Frank M. Keane Repo Market Effects of the Term Securities Lending Facility 2010-01-15T07:20:00Z Repo Market Effects of the Term Securities Lending Facility 2010-01-15T07:20:00Z Abstract http://www.newyorkfed.org/research/staff_reports/sr426.html Full text http://www.newyorkfed.org/research/staff_reports/sr426.pdf Frank M. Keane Warren B. Hrung Michael J. Fleming Michael J. Fleming, Warren B. Hrung, and Frank M. Keane 2010-01 New York Fed Staff reports E43 E52 E58 G12 G14 http://www.newyorkfed.org/research/staff_reports/sr414.pdf New York Fed Staff reports by Michael J. Fleming and Neel Krishnan The Microstructure of the TIPS Market 2009-12-16T17:40:59Z The Microstructure of the TIPS Market 2009-12-16T17:40:59Z Abstract http://www.newyorkfed.org/research/staff_reports/sr414.html Full text http://www.newyorkfed.org/research/staff_reports/sr414.pdf Neel Krishnan Michael J. Fleming Michael J. Fleming and Neel Krishnan 2009-12 New York Fed Staff reports G14 http://www.newyorkfed.org/research/staff_reports/sr381.pdf New York Fed Staff reports by Michael J. Fleming and Bruce Mizrach The Microstructure of a U.S. Treasury ECN:The BrokerTec Platform 2009-07-29T07:16:00Z The Microstructure of a U.S. Treasury ECN:The BrokerTec Platform 2009-07-29T07:16:00Z Abstract http://www.newyorkfed.org/research/staff_reports/sr381.html Full text http://www.newyorkfed.org/research/staff_reports/sr381.pdf Bruce Mizrach Michael J. Fleming Michael J. Fleming and Bruce Mizrach 2009-07 New York Fed Staff reports C32 D4 G12 G14 http://www.newyorkfed.org/research/current_issues/ci15-2.pdf New York Fed Current issues by Michael J. Fleming, Frank Keane and Warren B. Hrung The Term Securities Lending Facility: Origin, Design, and Effects 2009-02-27T07:18:00Z The Federal Reserve launched the Term Securities Lending Facility (TSLF) in 2008 to promote liquidity in the funding markets and improve the operation of the broader financial markets. The facility increases the ability of dealers to obtain cash in the private market by enabling them to pledge securities temporarily as collateral for Treasuries, which are relatively easy to finance. The TSLF thus reduces the need for dealers to sell assets into illiquid markets as well as lessens the likelihood of a loss of confidence among lenders._xyz_P>_xyz_TD>_xyz_TR> The Term Securities Lending Facility: Origin, Design, and Effects 2009-02-27T07:18:00Z Abstract http://www.newyorkfed.org/research/current_issues/ci15-2.html Full text http://www.newyorkfed.org/research/current_issues/ci15-2.pdf Frank Keane Warren B. Hrung Michael J. Fleming Michael J. Fleming, Frank Keane and Warren B. Hrung 2009-02-09 New York Fed Current issues E52 E58 G14 http://www.newyorkfed.org/research/economists/fleming/index.html New York Fed Staff reports by Michael J. Fleming and Joshua V. Rosenberg How Do Treasury Dealers Manage Their Positions? 2007-08-23T07:12:00Z How Do Treasury Dealers Manage Their Positions? 2007-08-23T07:12:00Z Abstract http://www.newyorkfed.org/research/staff_reports/sr299.html Full text http://www.newyorkfed.org/research/economists/fleming/index.html Michael J. Fleming Joshua V. Rosenberg Michael J. Fleming and Joshua V. Rosenberg 2007-08 New York Fed Staff reports G12 G20 G24 http://www.newyorkfed.org/research/current_issues/ci13-1.pdf New York Fed Current issues by Michael J. Fleming Who Buys Treasury Securities at Auction? 2007-02-07T17:38:59Z Who Buys Treasury Securities at Auction? 2007-02-07T17:38:59Z Abstract http://www.newyorkfed.org/research/current_issues/ci13-1.html Full text http://www.newyorkfed.org/research/current_issues/ci13-1.pdf Michael J. Fleming Michael J. Fleming 2007-01 New York Fed Current issues G12 G18 H63 http://www.newyorkfed.org/research/current_issues/ci11-9.pdf New York Fed Current issues by Michael J. Fleming and Kenneth D. Garbade Explaining Settlement Fails 2005-09-28T17:32:59Z Explaining Settlement Fails 2005-09-28T17:32:59Z Abstract http://www.newyorkfed.org/research/current_issues/ci11-9.html Full text http://www.newyorkfed.org/research/current_issues/ci11-9.pdf Michael J. Fleming Kenneth D. Garbade Michael J. Fleming and Kenneth D. Garbade 2005-09 New York Fed Current issues G18 G28 http://www.newyorkfed.org/research/current_issues/ci11-3.pdf New York Fed Current issues by Tobias Adrian and Michael J. Fleming What Financing Data Reveal about Dealer Leverage 2005-03-29T17:34:00Z What Financing Data Reveal about Dealer Leverage 2005-03-29T17:34:00Z Abstract http://www.newyorkfed.org/research/current_issues/ci11-3.html Full text http://www.newyorkfed.org/research/current_issues/ci11-3.pdf Tobias Adrian Michael J. Fleming Tobias Adrian and Michael J. Fleming 2005-03 New York Fed Current issues E4 G1 G2 http://www.newyorkfed.org/research/staff_reports/sr184.pdf New York Fed Staff reports by Michael J. Fleming, Kenneth D. Garbade, and Frank Keane Anomalous Bidding in Short-Term Treasury Bill Auctions 2004-05-07T07:08:59Z Anomalous Bidding in Short-Term Treasury Bill Auctions 2004-05-07T07:08:59Z Abstract http://www.newyorkfed.org/research/staff_reports/sr184.html Full text http://www.newyorkfed.org/research/staff_reports/sr184.pdf Frank Keane Michael J. Fleming Kenneth D. Garbade Michael J. Fleming, Kenneth D. Garbade, and Frank Keane 2004-05 New York Fed Staff reports G14 H63 http://www.newyorkfed.org/research/current_issues/ci9-6.pdf New York Fed Current issues by Michael J. Fleming and Kenneth D. Garbade The Repurchase Agreement Refined: GCF Repo® 2004-04-01T12:00:00Z The Repurchase Agreement Refined: GCF Repo® 2004-04-01T12:00:00Z Abstract http://www.newyorkfed.org/research/current_issues/ci9-6.html Full text http://www.newyorkfed.org/research/current_issues/ci9-6.pdf Michael J. Fleming Kenneth D. Garbade Michael J. Fleming and Kenneth D. Garbade 2003-06 New York Fed Current issues G19 G29 http://www.newyorkfed.org/research/current_issues/ci10-5.pdf New York Fed Current issues by Michael J. Fleming and Kenneth D. Garbade Repurchase Agreements with Negative Interest Rates 2004-04-01T12:00:00Z Repurchase Agreements with Negative Interest Rates 2004-04-01T12:00:00Z Abstract http://www.newyorkfed.org/research/current_issues/ci10-5.html Full text http://www.newyorkfed.org/research/current_issues/ci10-5.pdf Michael J. Fleming Kenneth D. Garbade Michael J. Fleming and Kenneth D. Garbade 2004-04 New York Fed Current issues G18 G28 H63 http://www.newyorkfed.org/research/staff_reports/sr145.pdf New York Fed Staff reports by Michael J. Fleming Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings 2004-03-25T19:02:00Z Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings 2004-03-25T19:02:00Z Abstract http://www.newyorkfed.org/research/staff_reports/sr145.html Full text http://www.newyorkfed.org/research/staff_reports/sr145.pdf Michael J. Fleming Michael J. Fleming 2002-03 New York Fed Staff reports G12 G14 H63 http://www.newyorkfed.org/research/epr/02v08n2/0211flem.pdf New York Fed Economic policy review by Michael J. Fleming and Kenneth D. Garbade When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11 2004-01-01T12:00:00Z When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market after 9/11 2004-01-01T12:00:00Z Abstract http://www.newyorkfed.org/research/epr/02v08n2/0211flem.html Full text http://www.newyorkfed.org/research/epr/02v08n2/0211flem.pdf Michael J. Fleming Kenneth D. Garbade Michael J. Fleming and Kenneth D. Garbade 2002-11 New York Fed Economic policy review G21 G23 G24 G28 http://www.newyorkfed.org/research/epr/03v09n3/0309flem.pdf New York Fed Economic policy review by Michael J. Fleming Measuring Treasury Market Liquidity 2004-01-01T12:00:00Z Measuring Treasury Market Liquidity 2004-01-01T12:00:00Z Abstract http://www.newyorkfed.org/research/epr/03v09n3/0309flem.html Full text http://www.newyorkfed.org/research/epr/03v09n3/0309flem.pdf Michael J. Fleming Michael J. Fleming 2003-09 New York Fed Economic policy review G14