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Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Session Overview

Session

3.5: Intermediaries in Treasury and OTC Markets

Time:

Thursday, 30/May/2024:

8:30am - 10:15am

Session Chair: Burton Hollifield, Carnegie Mellon University

Location: Charlottenburg III

Presentations

Entry and Exit in Treasury Auctions

Jason Allen¹, Ali Hortacscu², Eric Richert³, Milena Wittwer⁴

¹Bank of Canada; ²Univeristy of Chicago; ³Univeristy of Chicago; ⁴Boston College

Discussant: Pietro Bonaldi (Carnegie Mellon University)

Allen-Entry and Exit in Treasury Auctions-296.pdf

Dealer Capacity and U.S. Treasury Market Functionality

Darrell Duffie¹, Michael Fleming², Frank Keane², Claire Nelson³, Or Shachar², Peter Van Tassel⁴

¹Stanford University; ²Federal Reserve Bank of New York; ³Princeton University; ⁴Independent

Discussant: Maria Chaderina (University of Oregon)

Duffie-Dealer Capacity and US Treasury Market Functionality-1239.pdf

LTCM Redux? Hedge Fund Treasury Trading and Funding Fragility

Mathias Kruttli¹, Phillip Monin², Lubomir Petrasek², Sumudu Watugala¹

¹Indiana University, United States of America; ²Federal Reserve Board of Governors, United States of America

Discussant: Matthias Fleckenstein (University of Delaware)

Kruttli-LTCM Redux Hedge Fund Treasury Trading and Funding Fragility-1559.pdf