What is the best single, overall proxy measure for liquidity in financial markets? If markets started to freeze, you'd see it there? Or, conversely, you could tell from the measure that markets were starting to freeze.
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The spread there is thus not a payment for risk, or a disagreement between longs and shorts over the instantaneous value. It’s almost purely a measurement of the price of liquidity.
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“But given this rationale, shouldn’t you do the same on a 10 year T bill?” Yes, but so much of the world hangs of the 10 year T bill that I’m not positive in all futures where a thumb gets put on that scale the thumb should be called a liquidity problem.
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