Has U.S. Treasury Market Liquidity Deteriorated?

Tobias Adrian, Michael Fleming, Daniel Stackman and Erik Vogt

No 20150817, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: The issue of financial market liquidity has received tremendous attention lately. This partly arises from market participants' concerns that regulatory and structural changes have reduced dealers' market making abilities, but also from events such as the taper tantrum and the flash rally, in which Treasury prices fluctuated sharply amid seemingly little news. But is there really evidence of a sustained reduction in Treasury market liquidity?

Keywords: Treasury; Liquidity (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2015-08-17
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