Authors: Tobias Adrian, Michael Fleming, and Erik Vogt
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The Center for Microeconomic Data offers analysis and data exploring individual-level financial and nonfinancial economic conditions, expectations, and behavior in the United States.
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The Governance & Culture Reform hub is designed to foster discussion about corporate governance and the reform of culture and behavior in the financial services industry.
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The New York Fed provides a wide range of payment services for financial institutions and the U.S. government.
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The New York Fed has been working with tri-party repo market participants to make changes to improve the resiliency of the market to financial stress.
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The Governance & Culture Reform hub is designed to foster discussion about corporate governance and the reform of culture and behavior in the financial services industry.
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The Community Credit interactive highlights credit conditions, including measures of credit inclusion and stress, at the national, state and county levels.
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Staff Reports
An Index of Treasury Market Liquidity: 1991-2017
November 2017 Number 827
JEL classification: G12
Order book and transactions data from the U.S. Treasury securities market are used to calculate daily measures of bid-ask spreads, depth, and price impact for a twenty-six-year sample period (1991-2017). From these measures, a daily index of Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long-Term Capital Management, but suggests that current liquidity is good by historical standards. Market liquidity tends to be strongly correlated with funding liquidity at times of market stress, but otherwise exhibits little correlation.
