The Federal Reserve Bank of New York works to promote sound and well-functioning financial systems and markets through its provision of industry and payment services, advancement of infrastructure reform in key markets and training and educational support to international institutions.
The Outreach and Education function engages, empowers and educates the Second District communities that the Bank serves, especially civic leaders, students, educators, small business owners, policymakers and the general public. It furthers the Bank's commitment to the region by listening to the communities we serve and leveraging our unique attributes to positively impact school and university programs, as well as analysis and research.
We assess the microstructure of a U.S. Treasury electronic communications network (ECN) and show that limit orders as well as trades affect prices, with greater effects following announcements by the Federal Open Market Committee. We also find that use of iceberg orders, a form of hidden liquidity, is less common than in equity markets. Using logistic regression, we find support for the hypothesis that iceberg orders are used to prevent information leakage and mitigate adverse selection risk. However, volatility and iceberg order use are negatively linked, likely reflecting market participants’ preference for an alternative channel of hidden liquidity that gives them greater control over order exposure and execution.