Measuring Treasury Market Liquidity

[...]This article adds to the literature by estimating andevaluating a comprehensive set of liquidity measures for theU.S. Treasury securities market. High-frequency data from theinterdealer market allow for an analysis of trading volume,trading frequency, bid-ask spreads, quote sizes, trade sizes,price impact coefficients, and on-the-run/off-the-run yieldspreads. The variables are analyzed relative to one another,across securities, and over time in an effort to assess howliquidity can best be measured and tracked.[...]

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Year of publication:	2003-09-01
Authors:	Fleming, Michael J.
Institutions:	Federal Reserve Bank <New York, NY>
Published in:	London School of Economics and Political Science - Publications FRBNY Economic Policy Review / September 2003, S. 83 ff
Subject:	Preis \| Liquidität \| Sicherheit \| Finanzmanagement \| financial management \| Bemessung \| measurement

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Extent:	333824 bytes 26 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Financial theory ; Auditing and management control ; Individual Articles ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005869781