Liquidity Resilience in the UK Gilt Futures Market: Evidence from the Order Book

42 Pages Posted: 14 Aug 2018

Date Written: July 27, 2018

Abstract

We analyse liquidity dynamics in the UK long gilt futures market. We use a novel order book dataset to assess liquidity resilience to sources of pressure such as policy operations or episodes of financial distress. Our results provide evidence in favour of resilience. We further show that this resilience does not come at the expense of a negative liquidity trend. These findings mitigate the potential trade-off faced by policy makers such as regulators in maintaining an adequate level of liquidity in the UK long gilt futures market.

Keywords: Gilt Future, Liquidity, Order Book, Resilience

JEL Classification: G10, G14, G18

Suggested Citation

Fullwood, Jonathan and Massacci, Daniele, Liquidity Resilience in the UK Gilt Futures Market: Evidence from the Order Book (July 27, 2018). Bank of England Working Paper No. 744, Available at SSRN: https://ssrn.com/abstract=3222717 or http://dx.doi.org/10.2139/ssrn.3222717

Jonathan Fullwood (Contact Author)

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Daniele Massacci

King's College London ( email )

United Kingdom

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