Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/60855
Authors: 
Fleming, Michael J.
Hrung, Warren B.
Keane, Frank M.
Year of Publication: 
2010
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 426
Abstract: 
The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program - the extent to which it has narrowed repo spreads between Treasury collateral and less liquid collateral. We find that TSLF operations have precipitated a significant narrowing of repo spreads. More refined tests indicate the market conditions and types of operations associated with the program's effectiveness. Various additional tests, including a split-sample test, suggest that our findings are robust.
Subjects: 
Federal Reserve
liquidity facility
repo market
repurchase agreement
JEL: 
G12
G14
E52
E58
E43
Document Type: 
Working Paper

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