Measuring treasury market liquidity
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Note: For a published version of this report, see Michael J. Fleming, "Measuring Treasury Market Liquidity," Federal Reserve Bank of New York Economic Policy Review 9, no.3 (September 2003): 83-108. An earlier version of this paper is titled “Treasury Market Liquidity.”
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Other versions of this item:
- Michael J. Fleming, 2003. "Measuring treasury market liquidity," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 83-108.
References listed on IDEAS
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More about this item
Keywords
Bid-ask spreads; Trading volume; Quote sizes; Price impact; Liquidity;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2001-08-15 (Financial Markets)
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