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Liquidity in U.S. Treasury Spot and Futures Markets

In: Market Liquidity: Research Findings and Selected Policy Implications

Author

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  • Michael Fleming

    (Federal Reserve Bank)

  • Asani Sarkar

    (Federal Reserve Bank)

Abstract

No abstract is available for this item.

Suggested Citation

  • Michael Fleming & Asani Sarkar, 1999. "Liquidity in U.S. Treasury Spot and Futures Markets," CGFS Papers chapters, in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-14, Bank for International Settlements.
    • Handle: RePEc:bis:biscgc:11-11
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    File URL: http://www.bis.org/publ/cgfs11flem.pdf
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    Citations

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    Cited by:

    1. Dan Bernhardt & Ryan J. Davies & John Spicer, 2006. "Long‐term information, short‐lived securities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(5), pages 466-502, May.
    2. Chatrath, Arjun & Christie-David, Rohan A. & Lee, Kiseop & Moore, William T., 2009. "Competitive inventory management in Treasury markets," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 800-809, May.
    3. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
    4. Chris D'Souza & Charles Gaa, 2004. "The Effects of Economic News on Bond Market Liquidity," Staff Working Papers 04-16, Bank of Canada.
    5. Dan Bernhardt & Ryan Davies & John Spicer, 2000. "Long-term Information, Short-lived Derivative Securities," Working Paper 994, Economics Department, Queen's University.
    6. Sugato Chakravarty & Asani Sarkar, 1999. "Liquidity in U.S. fixed income markets: a comparison of the bid-ask spread in corporate, government and municipal bond markets," Staff Reports 73, Federal Reserve Bank of New York.
    7. Coluzzi, Chiara & Ginebri, Sergio & Turco, Manuel, 2008. "Measuring and Analyzing the Liquidity of the Italian Treasury Security Wholesale Secondary Market," Economics & Statistics Discussion Papers esdp08044, University of Molise, Department of Economics.
    8. Hooi Hooi Lean & Russell Smyth, 2015. "Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1710-1721, April.
    9. Chris D'Souza & Charles Gaa & Jing Yang, 2003. "An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds," Staff Working Papers 03-28, Bank of Canada.

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