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5 posts on "volatility"
October 17, 2023

How Has Treasury Market Liquidity Evolved in 2023?

Michael Fleming

Decorative photo: close up of the words "The Treasury" on the treasury building showing the top of the columns outside the structure.

In a 2022 post, we showed how liquidity conditions in the U.S. Treasury securities market had worsened as supply disruptions, high inflation, and geopolitical conflict increased uncertainty about the expected path of interest rates. In this post, we revisit some commonly used metrics to assess how market liquidity has evolved since. We find that liquidity worsened abruptly in March 2023 after the failures of Silicon Valley Bank and Signature Bank, but then quickly improved to levels close to those of the preceding year. As in 2022, liquidity in 2023 continues to closely track the level that would be expected by the path of interest rate volatility.

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Posted at 7:00 am in Financial Markets, Treasury | Permalink
November 30, 2022

How Is the Corporate Bond Market Functioning as Interest Rates Increase?

Nina Boyarchenko, Richard Crump, Anna Kovner, and Or Shachar

decorative image - skyscraper buildings with word bond overlay.

The Federal Open Market Committee (FOMC) has increased the target interest rate by 3.75 percentage points since March 17, 2022. In this post we examine how corporate bond market functioning has evolved along with the changes in monetary policy through the lens of the U.S. Corporate Bond Market Distress Index (CMDI). We compare this evolution to the 2015 tightening cycle for context on how bond market conditions have evolved as rates increase. The overall CMDI has deteriorated but remains close to historical medians. The investment-grade CMDI index has deteriorated more than the high-yield, driven by low levels of primary market issuance.

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Posted at 10:00 am in Financial Markets, Liquidity | Permalink
October 6, 2015

Has Liquidity Risk in the Corporate Bond Market Increased?

Tobias Adrian, Michael J. Fleming, Or Shachar, Daniel Stackman, and Erik Vogt

Tobias Adrian, Michael J. Fleming, Or Shachar, Daniel Stackman, and Erik Vogt Second in a six-part series Recent commentary suggests concern among market participants about corporate bond market liquidity. However, we showed in our previous post that liquidity in the corporate bond market remains ample. One interpretation is that liquidity risk might have increased, even as the […]

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Posted at 7:00 am in Financial Markets, Liquidity | Permalink
August 18, 2015

Liquidity during Flash Events

Ernst Schaumburg and Ron Yang

“Flash events,” extremely large price moves and reversals over just a few minutes, have occurred in some of the world’s most liquid markets in recent years.

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Posted at 7:00 am in Exchange Rates, Financial Markets, Liquidity | Permalink | Comments (1)
October 6, 2014

What Can We Learn from Prior Periods of Low Volatility?

Fernando M. Duarte, Juan Navarro-Staicos, and Carlo Rosa

Volatility, a measure of how much financial markets are fluctuating, has been near its record low in many asset classes.

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Posted at 7:00 am in Financial Markets, Forecasting, Stocks, Treasury | Permalink | Comments (1)

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