to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic …Order book and transactions data from the U.S. Treasury securities market are used to calculate daily measures of bid … Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market …