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

Jonathan Fullwood () and Daniele Massacci
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Jonathan Fullwood: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH

No 744, Bank of England working papers from 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.

Keywords: Gilt future; liquidity; order book; resilience (search for similar items in EconPapers)
JEL-codes: G10 G14 G18 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2018-07-27
New Economics Papers: this item is included in nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0744

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