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Liquidity resilience in the UK gilt futures market: evidence from the order book

Author

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  • Fullwood, Jonathan

    (Bank of England)

  • Massacci, Daniele

    (Bank of England)

Abstract

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These findings mitigate the potential trade-off faced by policy makers such as regulators in maintaining an adequate level of liquidity in the UK long gilt futures market.

Suggested Citation

  • Fullwood, Jonathan & Massacci, Daniele, 2018. "Liquidity resilience in the UK gilt futures market: evidence from the order book," Bank of England working papers 744, Bank of England.
    • Handle: RePEc:boe:boeewp:0744
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Gilt future; liquidity; order book; resilience;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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