Measuring treasury market liquidity
By: Michael J. Fleming.
Contributors: Federal Reserve Bank of New York.
Series: Staff reports ;; no. 133; Staff reports (Federal Reserve Bank of New York : Online) ;; no. 133.
Publisher: Federal Reserve Bank of New York
Published: 2001
Place of publication: [New York, N.Y.]
Language: eng
Format: Electronic resource
Subjects: Government securities -- Econometric models.; Liquidity (Economics)
Description: "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 R2 statistic above 30 percent for the two-year note.  The price impact coefficients are highly correlated with bid-ask spreads and with episodes of reported poor liquidity (such as the fall 1998 financial markets turmoil).  Quote and trade sizes correlate modestly with these episodes and with the other liquidity measures, as do yield spreads between on-the-run and off-the-run securities.  In contrast, trading volume and trading frequency are only weakly correlated with these other measures, suggesting that they are poor liquidity proxies.  The various measures are positively correlated across securities, almost without exception, especially for Treasury notes"--Federal Reserve Bank of New York web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 2/28/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.