Working Papers

Liquidity, Volatility, and Flights to Safety in the U.S. Treasury Market: Evidence from a New Class of Dynamic Order Book Models
With Robert Engle, Eric Ghysels, and Giang Nguyen
Federal Reserve Bank of New York Staff Reports, No. 590, December 2012

Dealer Financial Conditions and Lender-of-Last-Resort Facilities
With Viral Acharya, Warren B. Hrung, and Asani Sarkar
Working paper, June 2012

Trading Activity and Price Transparency in the Inflation Swap Market
With John Sporn
Appendix to "An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting."
Federal Reserve Bank of New York Staff Reports, No. 557, March 2012

An Analysis of OTC Interest Rate Derivatives Transactions: Implications for Public Reporting
With John Jackson, Ada Li, Asani Sarkar, and Patricia Zobel
Federal Reserve Bank of New York Staff Reports, No. 557, March 2012

An Analysis of CDS Transactions: Implications for Public Reporting
With Kathryn Chen, John Jackson, Ada Li, and Asani Sarkar
Federal Reserve Bank of New York Staff Reports, No. 517, September 2011

The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform
With Bruce Mizrach
Federal Reserve Bank of New York Staff Reports,No. 381, July 2009

How Do Treasury Dealers Manage Their Positions?
With Joshua V. Rosenberg
Federal Reserve Bank of New York Staff Reports,No. 299, August 2007

Monetary Policy Tick-by-Tick
With Monika Piazzesi
Working paper,August 2005

Heat Waves, Meteor Showers, and Trading Volume: An Analysis of Volatility Spillovers in the U.S. Treasury Market
With Jose A. Lopez
Federal Reserve Bank of New York Staff Reports,No. 82, July 1999

The Term Structure of Announcement Effects
With Eli M. Remolona
Federal Reserve Bank of New York Staff Reports,No. 76, May 1999

Preserving Firm Value through Exit: The Case of Voluntary Liquidations
With John J. Moon
Federal Reserve Bank of New York Staff Reports,No. 8, December 1995

Michael Fleming's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.