The market for long-dated UK government bond (‘gilt’) futures appears to be resilient in the face of stress, according to a new study by economists at the Bank of England.

In the staff working paper, entitled Liquidity resilience in the UK gilt futures market: evidence from the order book, Jonathan Fullwood and Daniele Massacci develop a measure of market liquidity using a “novel order book dataset”. They warn that neglecting the information from the “full order book” may lead to inaccuracies