Conference Agenda

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