Liquidity resilience in the UK gilt futures market: evidence from the order book

Working papers set out research in progress by our staff, with the aim of encouraging comments and debate.
Published on 27 July 2018

Staff Working Paper No. 744
By Jonathan Fullwood and Daniele Massacci

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.

PDF Liquidity resilience in the UK gilt futures market: evidence from the order book 


Other papers

Publication // Working Paper

Monetary policy consequences of financial...

Monetary policy consequences of financial stability interventions: assessing the UK LDI crisis and the...
Publication // Working Paper

Central bank profit distribution and recapitalisation

Central bank profit distribution and recapitalisation
Publication // Working Paper

An unconventional FX tail risk story

An unconventional FX tail risk story
Publication // Working Paper

Information disclosure and information acquisition...

Information disclosure and information acquisition in credit markets
View more

Back to top