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Indicators Related to Liquidity in JGB Markets

Author

Listed:
  • Kenji Nishizaki

    (Bank of Japan)

  • Akira Tsuchikawa

    (Bank of Japan)

  • Tomoyuki Yagi

    (Bank of Japan)

Abstract

Japanese government bonds (JGBs) have a range of uses in broad market trading. To ensure that market transactions involving JGBs operate smoothly, sufficient liquidity in JGB markets is an important condition. There are a number of concepts for evaluating liquidity in JGB markets, and the indicators corresponding to them are accordingly diverse. In assessing liquidity in JGB markets, it is important to monitor indicators as broadly as possible and grasp market liquidity comprehensively. This paper introduces some of the indicators related to liquidity in JGB markets.

Suggested Citation

  • Kenji Nishizaki & Akira Tsuchikawa & Tomoyuki Yagi, 2013. "Indicators Related to Liquidity in JGB Markets," Bank of Japan Review Series 13-E-3, Bank of Japan.
    • Handle: RePEc:boj:bojrev:13-e-3
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    File URL: http://www.boj.or.jp/en/research/wps_rev/rev_2013/data/rev13e03.pdf
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    Cited by:

    1. Mahiro Hoshino & Takanobu Mizuta & Yasuhiro Sudo & Isao Yagi, 2022. "Impact of maker-taker fees on stock exchange competition from an agent-based simulation," Journal of Computational Social Science, Springer, vol. 5(2), pages 1323-1342, November.
    2. Noritaka Fukuma & Tomiyuki Kitamura & Kohei Maehashi & Naoki Matsuda & Keita Takemura & Kota Watanabe, 2024. "The Impact of Quantitative and Qualitative Easing and Yield Curve Control on the Functioning of the Japanese Government Bond Market," Bank of Japan Working Paper Series 24-E-9, Bank of Japan.
    3. Naoshi Tsuchida & Toshiaki Watanabe & Toshinao Yoshiba, 2016. "The Intraday Market Liquidity of Japanese Government Bond Futures," IMES Discussion Paper Series 16-E-07, Institute for Monetary and Economic Studies, Bank of Japan.
    4. Isao Yagi & Yuji Masuda & Takanobu Mizuta, 2020. "Analysis of the Impact of High-Frequency Trading on Artificial Market Liquidity," Papers 2010.13038, arXiv.org.
    5. Toshiyuki Sakiyama & Shun Kobayashi, 2019. "Liquidity in the JGB cash market: an evaluation from detailed transaction data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.

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