Measuring treasury market liquidity

  title={Measuring treasury market liquidity},
  author={Michael Jonathan Fleming},
This paper examines a comprehensive set of liquidity measures for the U.S. Treasury market. The measures are analyzed relative to one another, across securities, and over time. I find highly significant price impact coefficients, such that a simple model that explains price changes with net order flow produces an R statistic above 30% for the two-year note. The price impact coefficients are highly correlated with bid-ask spreads and with episodes of reported poor liquidity (such as the fall… CONTINUE READING
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