What question did this study set out to answer?

To develop new liquidity measures based on price gaps and investigate their implications for monetary policy response.

June 17, 2026Open Access

Designing High-Frequency Market Liquidity Measures with Applications to Monetary Policy

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To develop new liquidity measures based on price gaps and investigate their implications for monetary policy response.
Developed liquidity measures utilizing order imbalance metrics from transaction price data.
Estimated latent gaps from intraday trades to derive new liquidity measures and quantified sampling uncertainty.
Applied event study methodology to analyze liquidity responses to FOMC announcements.
Identified distinct order-persistence patterns on announcement days, differentiating between surprise and non-surprise events.
Demonstrated that markets show varied liquidity responses based on the timing and nature of FOMC announcements.

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Implication

We propose a new liquidity measure and examine its impact on markets during FOMC announcements, suggesting deeper insights into monetary policy effects.

Cite This Study

Li et al. (2026) studied this question.

synapsesocial.com/papers/6a323dd7d50b63ecad207495 https://doi.org/10.17863/cam.131213

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Implication

We propose a new liquidity measure and examine its impact on markets during FOMC announcements, suggesting deeper insights into monetary policy effects.

Designing High-Frequency Market Liquidity Measures with Applications to Monetary Policy

Key Points

Discussion

Implication

Cite This Study

Designing High-Frequency Market Liquidity Measures with Applications to Monetary Policy

Key Points

Discussion

Implication

Cite This Study

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