8 posts on "market liquidity"
January 15, 2020
How Does Tick Size Affect Treasury Market Quality?
The popularity of U.S. Treasury securities as a means of pricing other securities, managing interest rate risk, and storing value is, in part, due to the efficiency and liquidity of the U.S. Treasury market. Any structural changes that might affect these attributes of the market are therefore of interest to market participants and policymakers alike. In this post, we consider how a 2018 change in the minimum price increment, or tick size, for the 2-year U.S. Treasury note affected market quality, following our recently updated New York Fed staff report.
October 16, 2018
Liquidity Effects of Post‑Crisis Regulatory Reform
The post-crisis regulatory reform efforts to improve capital and liquidity positions of regulated institutions provide incentives for banks to change not only the structure of their own balance sheets but also how they interact with their customers and other market participants more generally. A 2015 PwC study on global financial market liquidity, for example, noted that “[a]s banks respond to the new regulatory environment, they have sought to make more efficient use of capital and liquidity resources, by reducing the markets they serve and streamlining their operations.” In this blog post, we provide an overview of three recent New York Fed staff reports that study the impact that post-crisis regulation has had on the willingness and ability of regulated firms to participate in U.S. over-the-counter (OTC) markets.
Posted at 7:00 am in Crisis, Financial Institutions, Financial Intermediation, Financial Markets, Regulation | Permalink
June 28, 2017
Market Liquidity after the Financial Crisis
The possible adverse effects of regulation on market liquidity in the post-crisis period continue to garner significant attention.
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.
December 7, 2015
Dealer Positioning and Expected Returns
Tobias Adrian, Michael Fleming, and Erik Vogt Securities broker-dealers (dealers) trade securities on behalf of their customers and themselves. Recently, analysts have pointed to the decline in U.S. dealers’ corporate bond inventories as evidence that dealers’ market making capacity is impaired. However, historically such inventories also reflect dealers’ risk management and proprietary trading activities. In […]
Posted at 7:00 am in Financial Institutions, Financial Markets, Liquidity, Treasury | Permalink | Comments (2)
October 6, 2015
Has Liquidity Risk in the Treasury and Equity Markets Increased?
Market participants have argued that market liquidity has deteriorated since the financial crisis.
October 5, 2015
Has U.S. Corporate Bond Market Liquidity Deteriorated?
Commentators have argued that market liquidity has deteriorated in recent years as regulatory changes have reduced banks’ ability and willingness to make markets.
Posted at 11:02 am in Financial Institutions, Financial Markets, Liquidity | Permalink | Comments (4)
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