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Title:Are larger treasury issues more liquid? Evidence from bill reopenings PDF Logo
Authors:Fleming, Michael J.
Issue Date:2002
Series/Report no.:Staff Report, Federal Reserve Bank of New York 145
Abstract:This paper makes use of a natural experiment of the U.S. Treasury Department to examine the relationship between Treasury security issue size and liquidity. Treasury bills that were first issued with fifty-two weeks to maturity and then reopened at twenty-six weeks are shown to be more liquid than comparable maturity bills that were first issued with twenty-six weeks to maturity. The relationship is less pronounced when bills are on-the-run (the most recently auctioned bills of a given maturity) than when they are off-the-run, and persists when controlling for other factors that affect liquidity. The reopened bills are found to have higher yields (lower prices) than comparable maturity bills, showing that the indirect liquidity benefits of reopenings are more than offset by the direct supply costs.
Subjects:Treasury Market
Bid-ask spread
Trading volume
Issue size
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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