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Does the Equity Term Structure Respond to Monetary Policy Shocks?
Henry Dyer and Tomas Jankauskas A long-standing body of research, inspired by Bernanke and Kuttner (2005), has documented the effects of Fed interest rate surprises on stock markets. While stock...
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Stripping STRIPs Trading Activity
Michael J. Fleming and Or Shachar In March 2020, the Financial Industry Regulatory Authority (FINRA) began reporting aggregate trading volume for securities issued by the U.S. Treasury Department. The...
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A Window into Bond Investors’ Uncertainty About R‑Star
Guillaume Roussellet Monetary policymakers closely monitor the term structure of sovereign bond yields to uncover market participants’ beliefs about the future monetary policy stance, inflation, and...
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The Disappearing Overnight Drift
Nina Boyarchenko, Lars C. Larsen, and Paul Whelan In a 2021 Liberty Street Economics post, we documented the “overnight drift”—a large, persistent return to holding U.S. equity futures in the narrow...
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Estimating the Term Structure of Corporate Bond Risk Premia
Tomas Jankauskas Understanding how short- and long-term assets are priced is one of the fundamental questions in finance. The term structure of risk premia allows us to perform net present value...
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What Is a Carbon Tariff and Why Is the EU Imposing One?
Pierre Coster, Julian di Giovanni, and Isabelle Mejean The European Union has been an early adopter of carbon policies, with the introduction of the EU Emissions Trading System (ETS) in 2005. This...
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What Can Undermine a Carbon Tax?
Pierre Coster, Julian di Giovanni, and Isabelle Mejean Several countries have implemented a carbon tax or cap-and-trade system to establish high carbon prices and create a disincentive for the use of...
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How Has Treasury Market Liquidity Fared in 2025?
Michael J. Fleming In 2025, the Federal Reserve has cut interest rates, trade policy has shifted abruptly, and economic policy uncertainty has increased. How have these developments affected the...
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End‑of‑Month Activity Across the Treasury Market
Michael J. Fleming, Jonathan Palash-Mizner, and Or Shachar In a 2024 post, we showed that interdealer trading in benchmark U.S. Treasury notes and bonds concentrates on the last trading day of the...
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The Rise of Sponsored Service for Clearing Repo
Adam Copeland and R. Jay Kahn Recently instituted rule amendments have initiated a large migration of dealer-to-client Treasury repurchase trades to central clearing. To date, the main avenue used to...
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Do the Fed’s International Dollar Liquidity Facilities Affect Offshore Dollar...
Linda Goldberg and Fabiola Ravazzolo At the outbreak of the pandemic, in March 2020, the Federal Reserve implemented a suite of facilities, including two associated with international dollar...
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At the New York Fed: Seventh Annual Conference on the U.S. Treasury Market
Michael Fleming, Frank Keane, and Daniel Weitz Fireside chat between CFTC Acting Chairman Rostin Behnam and San Francisco Fed President Mary Daly On November 17, 2021, the New York Fed hosted the...
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Is Higher Financial Stress Lurking around the Corner for China?
Jan J. J. Groen and Adam I. Noble Despite China’s tighter financial policies and the Evergrande troubles, Chinese financial stress measures have been remarkably stable around average levels. Chinese...
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Banking the Unbanked: The Past and Future of the Free Checking Account
Stein Berre, Kristian Blickle, and Rajashri Chakrabarti About one in twenty American households are unbanked (meaning they do not have a demand deposit or checking account) and many more are...
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The Overnight Drift in U.S. Equity Returns
Nina Boyarchenko, Lars C. Larsen, and Paul Whelan Since the advent of electronic trading in the late 1990s, S&P 500 futures have traded close to 24 hours a day. In this post, which draws on our...
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How Does U.S. Monetary Policy Affect Emerging Market Economies?
Ozge Akinci and Albert Queralto The question of how U.S. monetary policy affects foreign economies has received renewed interest in recent years. The bulk of the empirical evidence points to sizable...
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Did Dealers Fail to Make Markets during the Pandemic?
Jiakai Chen, Haoyang Liu, David Rubio, Asani Sarkar, and Zhaogang Song In March 2020, as the COVID-19 pandemic disrupted a range of financial markets, the ability of dealers to maintain liquid...
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The Persistent Compression of the Breakeven Inflation Curve
Richard K. Crump, Nikolay Gospodinov, and Desi Volker Breakeven inflation, defined as the difference in the yield of a nominal Treasury security and a Treasury Inflation-Protected Security (TIPS) of...
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State‑of‑the‑Field Conference on Cyber Risk to Financial Stability
Jennifer Gennaro, Jason Healey, Anna Kovner, Michael Lee, and Patricia Mosser The Federal Reserve Bank of New York partnered with Columbia University’s School of International and Public Affairs (SIPA)...
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How Competitive are U.S. Treasury Repo Markets?
Adam Copeland, R. Jay Kahn, Antoine Martin, Matthew McCormick, William Riordan, Kevin Clark, and Tim Wessel The Treasury repo market is at the center of the U.S. financial system, serving as a source...
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