Bond Market Liquidity

Bloomberg (2015)

Nobody Knows How Much Bonds Cost

One potential solution for that problem is to have investors just trade bonds with each other, cutting out the banks as middlemen. But it turns out that doesn’t work very well, in part because investors don’t know how much bonds are supposed to cost, and need banks to tell them. read more »

Liberty Street Economics, New York Federal Reserve Blog (2016)

Measuring Corporate Bond Liquidity

As discussed in our earlier post, we don’t have access to quote data for corporate bonds, which trade over the counter. We therefore estimate “realized” bid-ask spreads by comparing—for a given bond—prices when a customer buys from a dealer (at the dealer’s offer price) to prices when a customer sells to a dealer (at the dealer’s bid price) read more »

FTSE Global Markets (2016)

Better Data Key to Efficient Functioning of Fixed Income Markets Fed’s Powell in Senate Testimony

In corporate bond markets, estimated bid-ask spreads have declined, explained Powell, “indicating that, if anything, liquidity may have improved. However, given the nature of the corporate bond market, these estimates are based on transactions rather than on direct observations of quotes to buy or sell these bonds. read more »