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Newsletter
Data Units in FRED®
This Page One Economics Data Primer describes the range of data units available in FRED, including their common use and interpretation, that help reveal the story behind the numbers.
Report
The Evolution of Treasury Market Liquidity: Evidence from 30 Years of Limit Order Book Data
This paper uses order book and transactions data from the U.S. Treasury securities market to calculate daily liquidity measures for a thirty-year sample period (1991–2021). We then construct a daily index of liquidity from bid-ask spreads, quoted depth, and price impact, reflecting the fact that the varying measures capture different aspects of market liquidity. The index is highly correlated with liquidity proxies proposed in the literature, but is more sensitive to short-term drivers of liquidity, suggesting that it better measures contemporaneous liquidity (as opposed to expected future ...
Journal Article
Tracking Business Conditions in Delaware
To meet the need for a gauge of current regional conditions at high frequency, we have built a real-time daily index to monitor business conditions in Delaware. What are the current conditions in the First State? How have these conditions evolved since the 1990s?