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An index of treasury market liquidity: 1991-2017

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Bibliographic Details
Authors and Corporations: Adrian, Tobias (Author), Fleming, Michael J. (Author), Vogt, Erik (Author)
Other Authors: Fleming, Michael J. [Author] • Vogt, Erik 1985- [Author]
Type of Resource: E-Book
Language: English
published:
Series: Federal Reserve Bank of New York: Staff reports ; no. 827 (October 2017)
Subjects:
Treasury securities
market liquidity
funding liquidity
volatility
index
Arbeitspapier
Graue Literatur
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: Order book and transactions data from the U.S. Treasury securities market are used to calculate daily measures of bid-ask spreads, depth, and price impact for a twenty-six-year sample period (1991-2017). From these measures, a daily index of Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long-Term Capital Management, but suggests that current liquidity is good by historical standards. Market liquidity tends to be strongly correlated with funding liquidity at times of market stress, but otherwise exhibits little correlation.
Physical Description: 1 Online-Ressource (circa 39 Seiten); Illustrationen