On Monday, August 17, the Federal Reserve Bank of New York’s Liberty Street Economics blog will launch a blog series that discusses different aspects of the evolving nature of market liquidity.
The series runs through August 21 and will feature an introduction and the following five blog posts:
Has U.S. Treasury Market Liquidity Deteriorated? examines whether evidence exists of a sustained reduction in liquidity in the U.S. Treasury market.
Liquidity During Flash Events considers important similarities and differences between three major flash events that occurred between May 2010 and March 2015 in U.S. equities, Euro-Dollar foreign exchange, and the U.S. Treasury markets.
High Frequency Cross-Market Activity in US Treasury Markets looks at the increased high-frequency correlation of trading activity across assets and trading platforms. The authors’ findings highlight the importance of both the changing nature of participation as well as the discrete technological changes that have enabled near instantaneous coordinated trading.
The Evolution of Workups in the U.S Treasury Securities Market documents the continued important role played by workups, whereby there is a short time window following the execution of a marketable order in which market participants can transact additional volume at the same price.
Dealer Balance Sheet Stagnation investigates the activity of dealer balance sheets, focusing particularly on the boom and bust of the housing market and the ensuing financial crisis.
For more information, please contact Kevin Sajdak at kevin.sajdak@ny.frb.org.
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