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Has U.S. Treasury Market Liquidity Deteriorated?

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Abstract

The issue of financial market liquidity has received tremendous attention lately. This partly arises from market participants' concerns that regulatory and structural changes have reduced dealers' market making abilities, but also from events such as the taper tantrum and the flash rally, in which Treasury prices fluctuated sharply amid seemingly little news. But is there really evidence of a sustained reduction in Treasury market liquidity?

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  • Tobias Adrian & Michael J. Fleming & Daniel Stackman & Erik Vogt, 2015. "Has U.S. Treasury Market Liquidity Deteriorated?," Liberty Street Economics 20150817, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:87055
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    File URL: https://libertystreeteconomics.newyorkfed.org/2015/08/has-us-treasury-market-liquidity-deteriorated.html
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    Cited by:

    1. Anderson, Nicola & Webber, Lewis & Noss, Joseph & Beale, Daniel & Crowley-Reidy, Liam, 2015. "Financial Stability Paper 34: The resilience of financial market liquidity," Bank of England Financial Stability Papers 34, Bank of England.
    2. Ødegaard, Bernt Arne, 2016. "Bond Liquidity at the Oslo Stock Exchange," UiS Working Papers in Economics and Finance 2016/16, University of Stavanger.

    More about this item

    Keywords

    Treasury; Liquidity;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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