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dc.contributor.authorChordia, Tarunen_US
dc.contributor.authorSarkar, Asanien_US
dc.contributor.authorSubrahmanyam, Avanidharen_US
dc.date.accessioned2012-08-17T14:26:59Z-
dc.date.available2012-08-17T14:26:59Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/60642-
dc.description.abstractThis paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors drive liquidity and volatility in both markets. Monetary expansion increases equity market liquidity during periods of financial crises, and unexpected increases (decreases) in the federal funds rate lead to decreases (increases) in liquidity and increases (decreases) in stock and bond volatility. Finally, we find that flows to the stock and government bond sectors play an important role in forecasting stock and bond liquidity. The results establish a link between 'macro' liquidity, or money flows, and 'micro' or transactions liquidity.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 164en_US
dc.subject.jelG10en_US
dc.subject.jelG14en_US
dc.subject.jelG23en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.stwAktienmarkten_US
dc.subject.stwRentenmarkten_US
dc.subject.stwGesamtwirtschaftliche Liquiditäten_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwUSAen_US
dc.titleAn empirical analysis of stock and bond market liquidityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn363003657en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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