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

Has monetary policy made you happier?

Has monetary policy made you happier?
// Publication // Working Paper

Dollar shortages and central bank swap lines

Dollar shortages and central bank swap lines
// Publication // Working Paper

Modelling fire sale contagion across banks...

Modelling fire sale contagion across banks and non-banks
// Publication // Working Paper

Understanding pay gaps

Understanding pay gaps

View more

Back to top

Was this page useful?
Thanks! Would you like to give more detail?
Add your details...