How Do Treasury Dealers Manage Their Positions Export

@misc{citeulike:1585073, abstract = {Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week.}, author = {Fleming, Michael J. and Rosenberg, Joshua V.}, citeulike-article-id = {1585073}, citeulike-linkout-0 = {http://www.newyorkfed.org/research/staff_reports/sr299.html}, comment = {Good look at the way that bond market specialists manage inventory and the auction process. }, journal = {FRNY Staff Report 299}, keywords = {bond, markets, microstructure}, month = {August}, posted-at = {2007-08-23 09:53:27}, priority = {3}, title = {How Do Treasury Dealers Manage Their Positions}, url = {http://www.newyorkfed.org/research/staff_reports/sr299.html}, year = {2007} }

TY - GEN ID - citeulike:1585073 L3 - citeulike-article-id:1585073 N2 - Using data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week. JF - FRNY Staff Report 299 TI - How Do Treasury Dealers Manage Their Positions KW - bond KW - markets KW - microstructure N1 - Good look at the way that bond market specialists manage inventory and the auction process. AU - Fleming, Michael AU - Rosenberg, Joshua PY - 2007/08// UR - http://www.newyorkfed.org/research/staff_reports/sr299.html ER -