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