Authors: Tobias Adrian, Michael J. Fleming, and Erik Vogt
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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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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.
