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Michael J. Fleming

Federal Reserve Bank of New York

Research Officer

33 Liberty Street

New York, NY 10045

United States

http://www.newyorkfed.org/research/economists/fleming/

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SCHOLARLY PAPERS

39

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12,586

CITATIONS
Rank 731

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in Total Papers Citations

698

Scholarly Papers (39)

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1.

Measuring Treasury Market Liquidity

Downloads 1,626 ( 8,059)
Citation 105

Measuring Treasury Market Liquidity

Economic Policy Review, Vol. 9, No. 3, September 2003
Number of pages: 26 Posted: 25 Aug 2005
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 1,000 (17,041)
Citation 105

Abstract:

liquidity, trading volume, bid-ask spread, quote size, price impact

Measuring Treasury Market Liquidity

FRB of New York Staff Report No. 133
Number of pages: 57 Posted: 29 Jul 2001
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 626 (33,533)
Citation 105

Abstract:

Liquidity, Trading volume, Bid-ask spreads, Quote sizes, Price impact

2.

What Moves the Bond Market?

Economic Policy Review, Vol. 3, No. 4, December 1997
Number of pages: 20 Posted: 24 Sep 2007
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 944 (12,601)
Citation 100

Abstract:

bonds, U.S. Treasury Market

3.

The Repurchase Agreement Refined: GCF Repo

Current Issues in Economics and Finance, Vol. 9, No. 6, June 2003
Number of pages: 7 Posted: 14 Mar 2005
Michael J. Fleming and Kenneth Garbade
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 898 (16,245)
Citation 7

Abstract:

repurchase agreements, RP, repo, fails, negative interest rates

4.

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Downloads 574 ( 38,151)
Citation 165

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Number of pages: 21 Posted: 09 Mar 1999
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 574 (37,595)
Citation 165

Abstract:

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Journal of Finance
Posted: 09 Mar 1999
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

5.

Repurchase Agreements with Negative Interest Rates

Current Issues in Economics and Finance, Vol. 10, No. 5, April 2004
Number of pages: 7 Posted: 04 Oct 2004
Michael J. Fleming and Kenneth Garbade
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 556 (24,506)
Citation 9

Abstract:

repurchase agreements, gcf repo, general collateral, fixed income clearing corporation, dealer finance

6.

The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform

FRB of New York Staff Report No. 381
Number of pages: 54 Posted: 31 Jul 2009
Michael J. Fleming, Bruce Mizrach and Giang Nguyen
Federal Reserve Bank of New York, Rutgers University, Department of Economics and Smeal College of Business, Penn State University
Downloads 475 (48,566)
Citation 9

Abstract:

microstructure, Treasury market, bid-ask spread, price impact, information

7.

The Term Structure of Announcement Effects

BIS Working Paper No. 71
Number of pages: 36 Posted: 13 Dec 2005
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 469 (44,882)
Citation 42

Abstract:

Announcements, Term structure, Expectations

8.

The Term Securities Lending Facility: Origin, Design, and Effects

Current Issues in Economics and Finance, Vol. 15, No. 2, February 2009
Number of pages: 11 Posted: 27 Feb 2009 Last Revised: 28 Feb 2009
Michael J. Fleming, Frank M. Keane and Warren B. Hrung
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 420 (44,434)
Citation 14

Abstract:

federal reserve, liquidity facility, securities lending, financing market, repo market

9.

How do Treasury Dealers Manage their Positions?

Downloads 368 ( 66,250)
Citation 7

How do Treasury Dealers Manage their Positions?

AFA 2008 New Orleans Meetings Paper
Number of pages: 40 Posted: 22 Mar 2007
Michael J. Fleming and Joshua V. Rosenberg
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 194 (130,838)
Citation 7

Abstract:

Treasury market, dealer, positions, inventory, hedging, issuance

How Do Treasury Dealers Manage Their Positions?

FRB of New York Staff Report No. 299
Number of pages: 48 Posted: 13 Sep 2007 Last Revised: 10 Jun 2010
Michael J. Fleming and Joshua V. Rosenberg
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 174 (144,754)
Citation 7

Abstract:

treasury market, dealer, positions, inventory, hedging, issuance

10.

Explaining Settlement Fails

Current Issues in Economics and Finance, Vol. 11, No. 9, September 2005
Number of pages: 7 Posted: 26 Oct 2005
Michael J. Fleming and Kenneth Garbade
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 366 (60,433)
Citation 11

Abstract:

settlement fails, securities lending, repurchase agreements, Treasury securities

11.

The Microstructure of the TIPS Market

Downloads 304 ( 82,417)
Citation 8

The Microstructure of the TIPS Market

FRB of New York Staff Report No. 414
Number of pages: 33 Posted: 21 Dec 2009
Michael J. Fleming and Neel Krishnan
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 157 (158,595)
Citation 8

Abstract:

Treasury inflation-protected securities, liquidity, seasonality, announcements

The Microstructure of the TIPS Market

Economic Policy Review, 2012
Number of pages: 19 Posted: 24 Dec 2011
Michael J. Fleming and Neel Krishnan
Federal Reserve Bank of New York and affiliation not provided to SSRN
Downloads 147 (167,888)
Citation 8

Abstract:

Treasury inflation-protected securities, announcements

12.

Repo Market Effects of the Term Securities Lending Facility

FRB of New York Staff Report No. 426
Number of pages: 37 Posted: 21 Jan 2010
Michael J. Fleming, Warren B. Hrung and Frank M. Keane
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 299 (61,189)
Citation 11

Abstract:

Federal Reserve, liquidity facility, repo market, repurchase agreement

13.

What Financing Data Reveal about Dealer Leverage

Current Issues in Economics and Finance, Vol. 11, No. 3, March 2005
Number of pages: 7 Posted: 05 Apr 2005
Tobias Adrian and Michael J. Fleming
International Monetary Fund and Federal Reserve Bank of New York
Downloads 290 (77,863)
Citation 17

Abstract:

leverage, primary dealers, risk taking, volatility, treasury market

14.

Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market

FRB of New York Staff Report No. 82
Number of pages: 37 Posted: 13 Nov 1999
Michael J. Fleming and Jose A. Lopez
Federal Reserve Bank of New York and Federal Reserve Bank of San Francisco
Downloads 255 (94,137)
Citation 7

Abstract:

volatility, trading volume, GARCH, intraday, U.S. Treasury securities market

15.

Who Buys Treasury Securities at Auction?

Current Issues in Economics and Finance, Vol. 13, No. 1, January 2007
Number of pages: 7 Posted: 14 Feb 2007
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 250 (84,346)
Citation 8

Abstract:

treasury securities, auction

16.

Federal Reserve Liquidity Provision during the Financial Crisis of 2007-2009

Downloads 241 (106,004)
Citation 3

Federal Reserve Liquidity Provision during the Financial Crisis of 2007-2009

FRB of New York Staff Report No. 563
Number of pages: 33 Posted: 08 Aug 2012
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 241 (105,522)
Citation 3

Abstract:

central bank , liquidity facilities, lender of last resort

Federal Reserve Liquidity Provision During the Financial Crisis of 2007–2009

Annual Review of Financial Economics, Vol. 4, pp. 161-177, 2012
Posted: 04 Nov 2012
Michael J. Fleming
Federal Reserve Bank of New York

Abstract:

17.

Market Liquidity after the Financial Crisis

Downloads 228 (112,161)

Market Liquidity after the Financial Crisis

FRB of NY Staff Report No. 796
Number of pages: 47 Posted: 20 Oct 2016 Last Revised: 21 Sep 2017
Tobias Adrian, Michael J. Fleming, Or Shachar and Erik Vogt
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 228 (111,704)

Abstract:

liquidity, market making, Treasury market, corporate bonds, regulation

Market Liquidity after the Financial Crisis

CEPR Discussion Paper No. DP12248
Number of pages: 49 Posted: 29 Aug 2017
Tobias Adrian, Michael J. Fleming, Or Shachar and Erik Vogt
International Monetary Fund, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
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Abstract:

corporate bonds, liquidity, market making, regulation, Treasury securities

18.

When the Back Office Moved to the Front Burner: Settlement Fails in the Treasury Market After September 11

Economic Policy Review, Vol. 8, No. 2, November 2002
Number of pages: 23 Posted: 15 Sep 2004
Michael J. Fleming and Kenneth Garbade
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 195 (118,334)
Citation 17

Abstract:

Settlement fails, Treasury market, repurchase agreement, repo market, securities lending, September 11

19.

Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models

FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of pages: 55 Posted: 02 Jan 2013
Robert F. Engle, Michael J. Fleming, Eric Ghysels and Giang Nguyen
New York University - Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of New York, University of North Carolina Kenan-Flagler Business School and Smeal College of Business, Penn State University
Downloads 178 (88,395)
Citation 3

Abstract:

liquidity, Treasury market, limit order book, financial crisis, volatility, announcement

20.

How Workers Use 401(K) Plans: The Participation, Contribution, and Withdrawal Decisions

FRB of New York Staff Report No. 38
Number of pages: 48 Posted: 28 Oct 2006
Michael J. Fleming, William F. Bassett and Anthony P. Rodrigues
Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System (FRB) and Federal Reserve Bank of New York
Downloads 173 (144,045)
Citation 26

Abstract:

21.

The Round-the-Clock Market for U.S. Treasury Securities

Economic Policy Review, Vol. 3, No. 2, July 1997
Number of pages: 24 Posted: 27 Sep 2007
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 169 (128,081)
Citation 34

Abstract:

intraday, trading volume, volatility, liquidity

22.

The Benchmark U.S. Treasury Market: Recent Performance and Possible Alternatives

Economic Policy Review, Vol. 6, No. 1, April 2000
Number of pages: 17 Posted: 08 Mar 2006
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 167 (144,770)
Citation 10

Abstract:

treasury, benchmark, debt, agency, market, securities

23.

Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements

Downloads 155 (160,157)

Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements

FRB of New York Staff Report No. 27
Number of pages: 55 Posted: 11 Nov 2006
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 155 (160,331)
Citation 33

Abstract:

Price Formation and Liquidity in the U.S. Treasury Market: Evidence from Intraday Patterns Around Announcements

Federal Reserve Bank of New York Staff Reports Number 27
Posted: 14 Jan 1998
Michael J. Fleming and Eli M. Remolona
Federal Reserve Bank of New York and Bank for International Settlements (BIS) - Monetary and Economic Department

Abstract:

24.

The Federal Reserve’s Foreign Exchange Swap Lines

Current Issues in Economics and Finance, Vol. 16, No. 4, April 2010
Number of pages: 7 Posted: 30 Apr 2010
Michael J. Fleming and Nicholas Klagge
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 154 (121,106)
Citation 4

Abstract:

swap line, liquidity facility

25.

Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

Downloads 134 (180,596)
Citation 19

Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

FRB of New York Staff Reports No. 145
Number of pages: 40 Posted: 18 Mar 2002
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 134 (181,131)
Citation 19

Abstract:

Treasury Market, Liquidity, Bid-ask spread, Trading volume, Issue size

Are Larger Treasury Issues More Liquid? Evidence from Bill Reopenings

Forthcoming in Journal of Money, Credit and Banking
Posted: 27 May 2002
Michael J. Fleming
Federal Reserve Bank of New York

Abstract:

Treasury Market, Liquidity, Bid-ask spread, Trading volume, Issue size

26.

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting

FRB of New York Staff Report No. 557
Number of pages: 23 Posted: 19 Apr 2012
Michael J. Fleming, John P. Jackson, Ada Li, Asani Sarkar and Patricia Zobel
Federal Reserve Bank of New York, Bank of England, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 127 (151,022)
Citation 2

Abstract:

interest rate derivatives, price reporting, public transparency, standardization

27.

An Analysis of CDS Transactions: Implications for Public Reporting

FRB of New York Staff Report No. 517
Number of pages: 25 Posted: 08 Oct 2011 Last Revised: 18 Sep 2012
Kathryn Chen, Michael J. Fleming, John P. Jackson, Ada Li and Asani Sarkar
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Bank of England, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 127 (138,459)
Citation 7

Abstract:

block trade, clearing eligible, credit derivatives, dealer hedging, price reporting, public transparency

28.

Anomalous Bidding in Short-Term Treasury Bill Auctions

Downloads 121 (195,668)

Anomalous Bidding in Short-Term Treasury Bill Auctions

FRB of New York Staff Report No. 184
Number of pages: 21 Posted: 28 Sep 2004
Michael J. Fleming, Kenneth Garbade and Frank M. Keane
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 121 (196,405)
Citation 2

Abstract:

Treasury bill, auction procedures, bidding behavior

Anomalous Bidding in Short-Term Treasury Bill Auctions

Journal of Financial Research, Forthcoming
Posted: 04 May 2004
Michael J. Fleming, Kenneth Garbade and Frank M. Keane
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York

Abstract:

Treasury bills, auctions, bidding

29.

Preserving Firm Value Through Exit: The Case of Voluntary Liquidations

FRB of New York Staff Report No. 8
Number of pages: 53 Posted: 22 Jun 2007
Michael J. Fleming and John J. Moon
Federal Reserve Bank of New York and Columbia University - Columbia Business School
Downloads 104 (198,132)
Citation 1

Abstract:

voluntary liquidation, asset reallocation

30.

The Failure Resolution of Lehman Brothers

Economic Policy Review, Forthcoming
Number of pages: 57 Posted: 10 Apr 2014
Michael J. Fleming and Asani Sarkar
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 102 (102,527)
Citation 1

Abstract:

Chapter 11, derivatives

31.

The Microstructure of China's Government Bond Market

FRB of New York Staff Report No. 622
Number of pages: 45 Posted: 04 Jun 2013 Last Revised: 14 Aug 2013
Jennie Bai, Michael J. Fleming and Casidhe Horan
Georgetown University - Department of Finance, Federal Reserve Bank of New York and The Stephen M. Ross School of Business at the University of Michigan
Downloads 83 (133,610)

Abstract:

trading activity, market efficiency, announcements, interest rates

32.

Order Flow Segmentation and the Role of Dark Trading in the Price Discovery of U.S. Treasury Securities

FRB of New York Staff Report No. 624
Number of pages: 55 Posted: 11 Aug 2013 Last Revised: 10 Jan 2014
Michael J. Fleming and Giang Nguyen
Federal Reserve Bank of New York and Smeal College of Business, Penn State University
Downloads 64 (224,618)
Citation 1

Abstract:

dark pool, liquidity, price impact, information share, fixed income market

33.

Financial Market Implications of the Federal Debt Paydown

FRB of New York Staff Report No. 120
Number of pages: 42 Posted: 09 Aug 2006
Michael J. Fleming
Federal Reserve Bank of New York
Downloads 54 (308,752)
Citation 13

Abstract:

treasury market, benchmark, reserve asset, liquidity

34.

Income Effects of Federal Reserve Liquidity Facilities

Current Issues in Economics and Finance, Vol. 17, No. 1, February 2011
Number of pages: 7 Posted: 06 Mar 2011
Michael J. Fleming and Nicholas Klagge
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 52 (298,576)
Citation 1

Abstract:

Federal Reserve, Liquidity facilities, Lender of last resort

35.

ECB Monetary Operations and the Interbank Repo Market

FRB of New York Staff Report No. 654
Number of pages: 46 Posted: 11 Jan 2014
Peter G. Dunne, Michael J. Fleming and Andrey Zholos
Central Bank of Ireland, Federal Reserve Bank of New York and Queen's University Management School
Downloads 39 (328,248)

Abstract:

repo, funding, liquidity, monetary policy, reserve management

36.

Trading Activity and Price Transparency in the Inflation Swap Market

Economic Policy Review, Vol. 19, No. 1, 2013
Number of pages: 13 Posted: 11 Sep 2013
Michael J. Fleming and John Sporn
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 33 (319,621)

Abstract:

inflation swap, trading activity, liquidity, price transparency, inflation expectations

37.

Dealer Financial Conditions and Lender-of-Last Resort Facilities

FRB of New York Staff Report No. 673
Number of pages: 57 Posted: 20 May 2014
Viral V. Acharya, Michael J. Fleming, Warren B. Hrung and Asani Sarkar
New York University - Leonard N. Stern School of Business, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 30 (284,544)
Citation 1

Abstract:

lender of last resort, central banking, crises, illiquidity, insolvency, stigma

38.

Trading Activity in the Indian Government Bond Market

FRB of NY Staff Report No. 785
Number of pages: 39 Posted: 09 Aug 2016 Last Revised: 30 Aug 2017
Michael J. Fleming, Seema Saggar and Samita Sareen
Federal Reserve Bank of New York, Government of India - Reserve Bank of India and New York University (NYU)
Downloads 0 (400,536)

Abstract:

India, government bonds, trading activity

39.

Preserving Firm Value through Exit: The Case of Voluntary Liquidations

Federal Reserve Bank of New York Staff Report No. 8
Posted: 19 May 2000
Michael J. Fleming and John J. Moon
Federal Reserve Bank of New York and Columbia University - Columbia Business School

Abstract:

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