We propose a model in which assets with identical cash flows can trade at different prices.
Infinitely lived agents can establish long positions in a search spot market, or short positions …

We show that the price of a Treasury bond and an inflation‐swapped Treasury Inflation‐
Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can …

We study the role played by private and public information in the process of price formation
in the US Treasury bond market. To guide our analysis, we develop a parsimonious model …

We study how crises affect Central Clearing Counterparties (CCPs). We focus on a large
and safe segment of the CCP-cleared repo market during the Eurozone sovereign debt …

We quantify the scarcity value of Treasury collateral by estimating the impact of security-
specific demand and supply factors on the specific collateral repurchase agreement (repo) …

Abstract The Federal Reserve now makes available current and historical data on trades in
US Treasury and other securities that fail to settle as scheduled. An analysis of the data …

We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly
replicating the cash flows of the Treasury bond can differ by more than $20 per $100 …

The most recently issued, on-the-run, Treasuries are extremely liquid and frequently trade at
a premium in both the cash and repo, or financing, markets. Previous research suggests that …

This paper examines the use of buybacks in Treasury cash and debt management. We
review the mechanics and results of the buyback operations conducted in 2000-01, during a …

How do crises affect Central clearing Counterparties (CCPs)? We focus on CCPs that clear
and guarantee a large and safe segment of the repo market during the Eurozone sovereign …