Is Treasury Market Liquidity Becoming More Concentrated

Michael Fleming

No 20160211, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: In an earlier post, we showed that Treasury market liquidity appears reasonably good by historical standards. That analysis focused on the most liquid benchmark securities, largely because data availability is best for those securities. However, some studies, such as this one and this one, report that market liquidity is concentrating in the most liquid securities at the expense of the less liquid, so that looking only at the benchmark securities gives a misleading impression. In this post, I look at trading volume information reported by the Federal Reserve to test whether liquidity is becoming more concentrated.

Keywords: Liquidity; bifurcation; trading activity; on-the-run (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2016-02-11
New Economics Papers: this item is included in nep-mst
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