On Monday, October 5, the Federal Reserve Bank of New York’s Liberty Street Economics blog will publish its second series of blog posts that shed light on the evolving nature of market liquidity. The new collection of blog posts will run through October 9.
The blog posts will be accessible each morning through the Liberty Street Economics blog and on the Economic Research Tracker, the New York Fed’s new iPad® app.
The series features an introduction and the following six posts:
Has U.S. Corporate Bond Market Liquidity Deteriorated? reviews both price– and quantity-based liquidity measures for the market to determine whether or not market liquidity has fallen.
Has Liquidity Risk in the Corporate Bond Market Increased? proposes a measure of liquidity risk in the corporate bond market and analyzes its evolution over time.
Has Liquidity Risk in the Treasury and Equity Markets Increased? argues that recent changes in liquidity conditions may best be described in terms of heightened changes in liquidity risk.
Changes in the Returns to Market Making estimates market-making returns in equity and corporate bond markets to assess the effects of regulations.
Redemption Risk of Bond Mutual Funds and Dealer Positioning examines the potential effects of outflows from bond mutual funds and the role of dealers in buffering such flows.
The Liquidity Mirage looks at the trade-off between price efficiency and the resiliency of liquidity introduced by high-frequency trading links between Treasury market trading platforms.
For more information, please contact kevin.sajdak@ny.frb.org.
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Media Advisory
New York Fed to Run Second Blog Series on Market Liquidity October 5
October 2, 2015
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