Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60539
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dc.contributor.authorSundaresan, Sureshen_US
dc.contributor.authorWang, Zhenyuen_US
dc.date.accessioned2012-08-17T14:24:56Z-
dc.date.available2012-08-17T14:24:56Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/60539-
dc.description.abstractFinancial institutions around the world expected the millennium date change (Y2K) to cause an aggregate liquidity shortage. Responding to concerns about this liquidity shortage, the Federal Reserve Bank of New York auctioned Y2K options to primary dealers. The options gave the dealers the right to borrow from the Fed at a predetermined interest rate. The implied volatilities of Y2K options and the aggressiveness of demand for these instruments reveal that the Fed’s action eased the fears of bond dealers, contributing to a drop in the liquidity premium of Treasurysecurities. Our analysis shows the link between the microstructure of government debt prices and the central bank’s provision of liquidity. The use of Y2K options and their effect on the liquidity premium broadly conform to the economic theory and practice of the public provision of private liquidity.en_US
dc.language.isoengen_US
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x266en_US
dc.subject.jelG1en_US
dc.subject.jelG13en_US
dc.subject.jelG18en_US
dc.subject.ddc330en_US
dc.subject.keywordY2K options, liquidity, Treasury bondsen_US
dc.subject.stwOptionsgeschäften_US
dc.subject.stwGesamtwirtschaftliche Liquiditäten_US
dc.subject.stwSchatzpapieren_US
dc.subject.stwUSAen_US
dc.titleY2K options and the liquidity premium in treasury bond marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn522100740en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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