Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/60610 
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dc.contributor.authorFleming, Michael J.en
dc.date.accessioned2012-08-17T14:26:18Z-
dc.date.available2012-08-17T14:26:18Z-
dc.date.issued2001-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x133en
dc.subject.jelG14en
dc.subject.ddc330en
dc.subject.keywordLiquidityen
dc.subject.keywordTrading volumeen
dc.subject.keywordBid-ask spreadsen
dc.subject.keywordQuote sizesen
dc.subject.keywordPrice impacten
dc.subject.stwSchatzpapieren
dc.subject.stwGesamtwirtschaftliche Liquiditäten
dc.subject.stwMessungen
dc.subject.stwBörsenumsatzen
dc.subject.stwBid-Ask Spreaden
dc.subject.stwUSAen
dc.titleMeasuring treasury market liquidity-
dc.typeWorking Paperen
dc.identifier.ppn331603373en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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