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The Evolving Market for U.S. Sovereign Credit Risk
Nina Boyarchenko and Or Shachar How should we measure market expectations of the U.S. government failing to meet its debt obligations and thereby defaulting? A natural candidate would be to use the...
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What’s in A(AA) Credit Rating?
Nina Boyarchenko and Or Shachar Update: Clarifying text regarding the net leverage chart, as well as an additional chart, have been added to the bottom of this post. (January 10, 10:40 a.m.) Rising...
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How Does Information Affect Liquidity in Over‑the‑Counter Markets?
Michael Lee and Antoine Martin A large volume of financial transactions occur in decentralized markets that commonly depend on a network of dealers. Dealers face two impediments to providing liquidity...
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How Does Tick Size Affect Treasury Market Quality?
Michael Fleming, Giang Nguyen, and Francisco Ruela The popularity of U.S. Treasury securities as a means of pricing other securities, managing interest rate risk, and storing value is, in part, due to...
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