45 posts on "liquidity"
February 7, 2018
A DSGE Perspective on Safety, Liquidity, and Low Interest Rates
Marco Del Negro, Domenico Giannone, Marc Giannoni, Abhi Gupta, Pearl Li, and Andrea Tambalotti Third of three posts The preceding two posts in this series documented that interest rates on safe and liquid assets, such as U.S. Treasury securities, have declined significantly in the past twenty years. Of course, short-term interest rates in the United […]
February 6, 2018
A Time‑Series Perspective on Safety, Liquidity, and Low Interest Rates
Brandyn Bok, Marco Del Negro, Domenico Giannone, Marc Giannoni, and Andrea Tambalotti Second of three posts The previous post in this series discussed several possible explanations for the trend decline in U.S. real interest rates since the late 1990s. We noted that while interest rates have generally come down over the past two decades, this […]
February 5, 2018
A New Perspective on Low Interest Rates
Marco Del Negro, Domenico Giannone, Marc Giannoni, and Andrea Tambalotti First of three posts Interest rates in the United States have remained at historically low levels for many years. This series of posts explores the forces behind the persistence of low rates. We briefly discuss some of the explanations advanced in the academic literature, and […]
Posted at 7:00 am in Liquidity, Macroeconomics, Monetary Policy, Treasury | Permalink | Comments (2)
October 11, 2017
U.S. Monetary Policy as a Changing Driver of Global Liquidity
International capital flows channel large volumes of funds across borders to both public and private sector borrowers. As they are critically important for economic growth and financial stability, understanding their main drivers is crucial for both policymakers and researchers. In this post, we explore the evolving impact of changes in U.S. monetary policy on global liquidity.
December 21, 2016
Hey, Economist! Tobias Adrian Reflects on His Work at the N.Y. Fed before Heading to the IMF
Tobias Adrian is leaving the New York Fed to become the Financial Counselor and Director of the Monetary and Capital Markets Department at the International Monetary Fund (IMF). In announcing Adrian’s appointment, Christine Lagarde, managing director of the IMF, described Tobias as “internationally highly regarded for his insightful analytical work.” Until he starts his new position at the beginning of 2017, Adrian will be winding down his service as Senior Vice President of the New York Fed and Associate Director of the Bank’s Research and Statistics Group. Before he moves on to the IMF, Adrian shared some insight on his time at the Bank.
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 8, 2016
Has MBS Market Liquidity Deteriorated?
Rich Podjasek, Linsey Molloy, Michael J. Fleming, and Andreas Fuster Mortgage-backed securities guaranteed by the government-backed entities Fannie Mae, Freddie Mac, and Ginnie Mae, or so-called “agency MBS,” are the primary funding source for U.S. residential housing. A significant deterioration in the liquidity of the MBS market could lead investors to demand a premium for […]
Continuing the Conversation on Liquidity
Tobias Adrian, Michael J. Fleming, and Ernst Schaumburg Market participants and policymakers have raised concerns about market liquidity—the ability to buy and sell securities quickly, at any time, at minimal cost. Market liquidity supports the efficient allocation of financial capital, which is a catalyst for sustainable economic growth. Any possible decline in market liquidity, whether […]
October 9, 2015
The Liquidity Mirage
Market efficiency is often pointed to as a main benefit of automated and high-frequency trading (HFT) in U.S. Treasury markets.
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