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dc.contributor.authorFleming, Michael J.en_US
dc.date.accessioned2012-08-17T14:26:18Z-
dc.date.available2012-08-17T14:26:18Z-
dc.date.issued2001en_US
dc.identifier.urihttp://hdl.handle.net/10419/60610-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 133en_US
dc.subject.jelG14en_US
dc.subject.ddc330en_US
dc.subject.keywordLiquidityen_US
dc.subject.keywordTrading volumeen_US
dc.subject.keywordBid-ask spreadsen_US
dc.subject.keywordQuote sizesen_US
dc.subject.keywordPrice impacten_US
dc.subject.stwSchatzpapieren_US
dc.subject.stwGesamtwirtschaftliche Liquiditäten_US
dc.subject.stwMessungen_US
dc.subject.stwBörsenumsatzen_US
dc.subject.stwBid-Ask Spreaden_US
dc.subject.stwUSAen_US
dc.titleMeasuring treasury market liquidityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn331603373en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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