An Index of Treasury Market Liquidity: 1991-2017

39 Pages Posted: 17 Nov 2017

See all articles by Tobias Adrian

Tobias Adrian

International Monetary Fund

Michael J. Fleming

Federal Reserve Bank of New York

Erik Vogt

Citadel LLC

Date Written: 2017-11-01


Order book and transactions data from the U.S. Treasury securities market are used to calculate daily measures of bid-ask spreads, depth, and price impact for a twenty-six-year sample period (1991-2017). From these measures, a daily index of Treasury market liquidity is constructed, reflecting the fact that the varying measures capture different aspects of market liquidity. The liquidity index is then correlated with various metrics of funding liquidity, volatility, and macroeconomic conditions. The liquidity index points to poor liquidity during the 2007-09 financial crisis and around the near failure of Long-Term Capital Management, but suggests that current liquidity is good by historical standards. Market liquidity tends to be strongly correlated with funding liquidity at times of market stress, but otherwise exhibits little correlation.

Keywords: Treasury securities, market liquidity, funding liquidity, volatility, index

JEL Classification: G12

Suggested Citation

Adrian, Tobias and Fleming, Michael J. and Vogt, Erik, An Index of Treasury Market Liquidity: 1991-2017 (2017-11-01). FRB of NY Staff Report No. 827, Available at SSRN:

Tobias Adrian (Contact Author)

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States


Michael J. Fleming

Federal Reserve Bank of New York ( email )

33 Liberty Street
New York, NY 10045
United States
212-720-6372 (Phone)
212-720-1582 (Fax)


Erik Vogt

Citadel LLC ( email )

131 S Dearborn Street
Chicago, IL 60603
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
PlumX Metrics