Measuring Treasury Market Liquidity

Measuring Treasury Market Liquidity

This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are hig...

Measuring Market Liquidity Risk - Which Model Works

Liquidity Premiums between Treasury Asset Markets

This paper examines the factors which explain the liquidity premium in the Spanish government securities market. First, we study the degree of liquidity and the relationship to the factors it depends on, observing the differences between two kinds of assets, bills and notes, and between two markets that can be considered as retail market (the Electronic Stock Exchange, ETS) and wholesale market...

Funding Liquidity and Market Liquidity

Recent empirical studies have shown an increasing co-movement between fund and market liquidity, which is driven by common factors such as monetary shocks. Modeling this comovement becomes desirable to evaluate policies relating to liquidity and financial instability. This paper establishes a monetary model with capital to explain the dynamic interactions between funding and market liquidity in...

Market Liquidity and Funding Liquidity

We provide a model that links a security’s market liquidity — i.e., the ease of trading it — and traders’ funding liquidity — i.e., their availability of funds. Traders provide market liquidity and their ability to do so depends on their funding, that is, their capital and the margins charged by their financiers. In times of crisis, reductions in market liquidity and funding liquidity are mutua...