An Index of Treasury Market Liquidity: 1991-2017 - FEDERAL RESERVE BANK of NEW YORK

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An Index of Treasury Market Liquidity: 1991-2017

Tobias Adrian, Michael Fleming, and Erik Vogt
Staff Reports, Number 827, November 2017

Author Disclosure Statements

Tobias Adrian

The author declares that he has no relevant or material financial interests that relate to the research described in this paper. Use of BrokerTec data was subject to review by NEX Group prior to publication.

Michael Fleming

Erik Vogt

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