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Has Treasury Market Liquidity Improved in 2024?

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Abstract

Standard metrics point to an improvement in Treasury market liquidity in 2024 to levels last seen before the start of the current monetary policy tightening cycle. Volatility has also trended down, consistent with the improved liquidity. While at least one market functioning metric has worsened in recent months, that measure is an indirect gauge of market liquidity and suggests a level of current functioning that is far better than at the peak seen during the global financial crisis (GFC).

Suggested Citation

  • Michael J. Fleming, 2024. "Has Treasury Market Liquidity Improved in 2024?," Liberty Street Economics 20240923, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednls:98808
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    File URL: https://libertystreeteconomics.newyorkfed.org/2024/09/has-treasury-market-liquidity-improved-in-2024/
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    More about this item

    Keywords

    market liquidity; Treasury market; Treasury securities;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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