US market liquidity deteriorated in 2019, Fed warns
Liquidity in US Treasury and equity markets has recently deteriorated, prompting an increase in the frequency of flash events, the Federal Reserve says in its latest financial stability report.
The central bank has developed an illiquidity index by combining three measures for market illiquidity – bid-ask price, quoted depth and price impact.
The index shows that illiquidity in the Treasury market rose from roughly –2 at the start of the year to zero by the end of the third quarter. This jump
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