do, but which would be very helpful in assessing the real - world relevance of the model, would be to see if this sort of asymmetry in bond returns is present in the data. in particular, if i am interpreting the model correctly, it implies a specific form of conditional volatility and skewness in bond returns. for example, when term premiums are unusually low relative to historical norms, the model suggests an elevated probability of a sharp upward spike in rates. i don ’ t know of any evidence that bears on this hypothesis in the bond market, though an analogous pattern does appear in stock market returns. 3 it is worth saying a little about the “ musical chairs ” mechanism that leads to the sharp spike in rates. the fund managers in the model care about their relative performance in that they are averse to posting lower returns than their peers, holding fixed absolute performance. these relative - performance concerns induce a form of strategic complementarity of fund manager actions. specifically, as short - term rates begin to rise and fund manager i contemplates whether she should bail out of long - term bonds and move into short - term bills, she is more apt to do so if she thinks that some other manager, j, is also going to bail – because she is worried that otherwise, she may wind up underperforming manager j and finishing last in the relative - performance tournament. while appearing in a different guise here, this strategic - complementarity effect – the idea that any one agent is in more of a rush to get out when he or she thinks that others may also want to get out – is essentially the same mechanism that drives bank runs in the classic work of diamond and dybvig, and that, in one manifestation or another, creates financial fragility in many other settings. 4 however, one thing that is distinctive about the variant presented in the current paper is that there is a clear prediction of exactly what sets off the run for the exits on the part of money managers – namely, a small increase in short rates beyond a certain threshold level. 5 the model focuses on one particular source of run - like fragility that might emanate from the asset - management sector, but there are others. one that the paper briefly mentions, and that is worth a fuller treatment, has to do with the potential for outflows of assets under see chen, hong, and stein ( 2001 ). they document that, consistent with

even to regulators - - on trading in our nation's treasury market. it took considerable effort to gather detailed trade data for just the single day of october 15, 2014, in writing the joint staff report. the board has been supportive of the treasury department's current request for information ( rfi ), which will be concluding on april 22. the rfi will provide information on this issue, as we reassess the adequacy of public information and of the data available to the official sector for its own monitoring of these markets. thank you. i would be pleased to answer any questions you may have. see evangelos benos, richard payne, and michalis vasios, centralized trading, transparency and interest rate swap market liquidity : evidence from the implementation of the dodd - frank act ( pdf ), bank of england, staff working paper no. 580, january 15, 2016. see tobias adrian, michael fleming, daniel stackman, and erik vogt, what's driving dealer balance sheet stagnation?, liberty street economics ( blog ), august 21, 2015. see sifma electronic bond trading report : us corporate and municipal securities ( pdf ) industry and financial markets association ( sifma ), february 17, 2016. bis central bankers ’ speeches, securities