Liberty Street Economics
Liberty Street Economics
Return to Liberty Street Economics Home Page

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.

Continue reading »
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.

Continue reading »
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 […]

Continue reading »
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.

Continue reading »
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.

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

RSS RSS Feed

Twitter Follow Liberty Street Economics

About the Blog

Liberty Street Economics features insight and analysis from New York Fed economists working at the intersection of research and policy. Launched in 2011, the blog takes its name from the Bank’s headquarters at 33 Liberty Street in Manhattan’s Financial District.

The editors are Michael Fleming, Andrew Haughwout, Thomas Klitgaard, and Asani Sarkar, all economists in the Bank’s Research Group.

Liberty Street Economics does not publish new posts during the blackout periods surrounding Federal Open Market Committee meetings.

The views expressed are those of the authors, and do not necessarily reflect the position of the New York Fed or the Federal Reserve System.

Economic Research Tracker

Image of NYFED Economic Research Tracker Icon Liberty Street Economics is available on the iPhone® and iPad® and can be customized by economic research topic or economist.

View by Topic

Most Read this Year

  1. Delinquency Is Increasingly in the Cards for Maxed-Out Borrowers
  2. What Was Up with Grocery Prices?
  3. Taking Stock: Dollar Assets, Gold, and Official Foreign Exchange Reserves
  4. Credit Score Impacts from Past Due Student Loan Payments
  5. U.S. Imports from China Have Fallen by Less Than U.S. Data Indicate
Useful Links
Comment Guidelines

 

We encourage your comments and queries on our posts and will publish them (below the post) subject to the following guidelines:

Please be brief: Comments are limited to 1,500 characters.

Please be aware: Comments submitted shortly before or during the FOMC blackout may not be published until after the blackout.

Please be relevant: Comments are moderated and will not appear until they have been reviewed to ensure that they are substantive and clearly related to the topic of the post.

Please be respectful: We reserve the right not to post any comment, and will not post comments that are abusive, harassing, obscene, or commercial in nature. No notice will be given regarding whether a submission will or will
not be posted.‎

Comments with links: Please do not include any links in your comment, even if you feel the links will contribute to the discussion. Comments with links will not be posted.

Send Us Feedback

Disclosure Policy

The LSE editors ask authors submitting a post to the blog to confirm that they have no conflicts of interest as defined by the American Economic Association in its Disclosure Policy. If an author has sources of financial support or other interests that could be perceived as influencing the research presented in the post, we disclose that fact in a statement prepared by the author and appended to the author information at the end of the post. If the author has no such interests to disclose, no statement is provided. Note, however, that we do indicate in all cases if a data vendor or other party has a right to review a post.

Archives