Market Liquidity after the Financial Crisis

Tobias Adrian, Michael Fleming, Or Shachar and Erik Vogt

No 12248, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper examines market liquidity in the post-crisis era in light of concerns that regulatory changes might have reduced dealers' ability and willingness to make markets. We begin with a discussion of the broader trading environment, including an overview of regulations and their potential effects on dealer balance sheets and market making, but also considering additional drivers of market liquidity. We document a stagnation of dealer balance sheets after the financial crisis of 2007-09, which occurred concurrently with dealer balance sheet deleveraging. However, using high-frequency trade and quote data for U.S. Treasuries and corporate bonds, we find only limited evidence of a deterioration in market liquidity.

Keywords: Liquidity; Market making; Treasury securities; Corporate bonds; Regulation (search for similar items in EconPapers)
JEL-codes: G12 G21 G28 (search for similar items in EconPapers)
Date: 2017-08
New Economics Papers: this item is included in nep-ban, nep-cfn and nep-mst
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Citations: View citations in EconPapers (47)

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Related works:
Journal Article: Market Liquidity After the Financial Crisis (2017)
Working Paper: Market Liquidity after the Financial Crisis (2017)
Working Paper: Market liquidity after the financial crisis (2016)
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