Measuring Treasury Market Liquidity

By Michael J. Fleming. 2001

476 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/0648506e65e1ba71f548933cef1661131555d511

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Citations in the corpus

An Empirical Analysis of Stock and Bond Market Liquidity (2005, unknown): “Several recent articles have suggested that financial crises affect liquidity.29 For Treasury bonds, Fleming (2001) finds that price impacts and quoted bid-ask spreads are higher during crisis periods.”
Informed and Strategic Order Flow in the Bond Markets (2006, unknown): “[33] Fleming, M.”
Risk and Return in Fixed Income Arbitrage: Nickels in front of a Steamroller? (2006, unknown): “In a recent paper, Fleming (2003) estimates that the bid-ask spread for actively-traded Treasuries is 0.”
The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns (2010, background): “22Fleming and Garbade (2002) suggest that supply may affect the functioning of markets and may impact illiquidity.”
Yield spreads on EMU government bonds (2003, background): “…and fiscal fundamentals as constant, include an international factor measured by the spread between 10-year fixed interest rates on US swaps and the yield on 10-year US bonds, as well as the vector of the three liquidity-related proxies mentioned above (see, for example, Fleming, 2001).”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “012% according to Fleming(2003). For an average investor, i.”
The European Bond Markets Under Emu (2004, unknown): “25 See, for example, Fleming (2001).”
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, background): “, Balduzzi, Elton, and Green (2001), Andersen, Bollerslev, Diebold, and Vega (2003), (2007), Green (2004), and Fleming and Piazzesi (2005)). Thus, the daily frequency of our data is most likely to bias our estimates of that reaction downward. Yet, as we soon discuss, our evidence is strong. Lastly, ”
Government Risk Premiums in the Bond Market: EMU and Canada (2008, unknown): “Gómez-Puig (2006) uses adjusted spreads of the yields on bonds issued by 10 European countries over DM bonds, where the adjustment uses appropriate swap rates to eliminate exchange rate uncertainty. She finds that the spreads increase with increasing debt relative to Germany.(3) Pagano and von Thadd”
The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market (2002, background): “Fleming (2001) examines a set of liquidity measures for the U.S. Treasury market and …nds that price pressure is closely related to securities’ price changes over very short (…ve-minute) intervals.”
Bond Liquidity Premia (2012, background): “Interestingly, Jordan and Jordan (1997) shows that 2-year Notes This is consistent with Fleming (2003) who finds that the 10-year on-the-run premium has a large idiosyncratic component.”
Are Liquidity and Information Risks Priced in the Treasury Bond Market (2009, background): “20 Fleming and Remolona (1999) report 87 non-announcement days out of 250 trading days, which implies that 65.”