299 posts on "Financial Markets"
April 1, 2016
Hey, Economist! What Did You Make of “The Big Short”?
The Big Short has been making a big splash this year, racking up five Academy Award nominations and taking home the Oscar for best adapted screenplay.
March 28, 2016
How the Fed Smoothed Quarter‑End Volatility in the Fed Funds Market
The federal funds market is an important source of short-term funding for U.S. banks.
March 23, 2016
Is Bitcoin Really Frictionless?
Bitcoin is the most popular virtual currency yet developed.
February 19, 2016
Did Third Avenue’s Liquidation Reduce Corporate Bond Market Liquidity?
Tobias Adrian, Michael J. Fleming, Erik Vogt, and Zachary Wojtowicz The announced liquidation of Third Avenue’s high-yield Focused Credit Fund (FCF) on December 9, 2015, drew widespread attention and reportedly sent ripples through asset markets. Events of this kind have the potential to increase the demand for market liquidity, as investors revise expectations, reassess risk […]
Quantifying Potential Spillovers from Runs on High‑Yield Funds
On December 9, 2015, Third Avenue Focused Credit Fund (FCF) announced a “Plan of Liquidation,” effectively halting investor redemptions.
Posted at 7:00 am in Corporate Finance, Financial Institutions, Financial Markets, Liquidity | Permalink | Comments (1)
February 17, 2016
High‑Frequency Cross‑Market Trading and Market Volatility
The close relationship between market volatility and trading activity is a long-established fact in financial markets.
February 16, 2016
The Workup, Technology, and Price Discovery in the Interdealer Market for U.S. Treasury Securities
The interdealer market for Treasury securities shares many features with other highly liquid markets that trade electronically using anonymous central limit order books.
February 11, 2016
Is Treasury Market Liquidity Becoming More Concentrated?
Michael Fleming In an earlier post, we showed that Treasury market liquidity appears reasonably good by historical standards. That analysis focused on the most liquid benchmark securities, largely because data availability is best for those securities. However, some studies, such as this one and this one, report that market liquidity is concentrating in the most […]
February 10, 2016
Further Analysis of Corporate Bond Market Liquidity
Tobias Adrian, Michael Fleming, Erik Vogt, and Zachary Wojtowicz Our earlier analyses from last October and earlier in this series looked at market liquidity measures averaged across all corporate bonds or broad sub-groups of corporate bonds. Commentators have pointed out that such broad averages might mask important differences among narrower sub-groups of bonds and that […]
February 9, 2016
Corporate Bond Market Liquidity Redux: More Price‑Based Evidence
In a recent post, we presented some preliminary evidence suggesting that corporate bond market liquidity is ample. That evidence relied on bid-ask spread and price impact measures.
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