Research Discussion Paper – RDP 2025-07 Back to the Futures: Liquidity in Australian Bond Futures amid Market-moving Events since COVID-19
October 2025
Contents
- Introduction
- Literature Review
- Data and Some Descriptive Statistics
- Review of Liquidity in Periods of Interest
- Effects of Regular Events on Liquidity
- Conclusion
- References
We would like to thank Duke Cole, Elliot Di Qual, Jonathan Hambur, Jarkko Jääskelä, Allan McGregor and Matthew Wheadon for helpful comments and suggestions. We also thank participants in a seminar at the Royal Melbourne Institute of Technology and internal Reserve Bank seminars – including Calebe de Roure, Joel Findlay, Phil Grozinger, Mark Hack and Xiaolu Hu – for their feedback. We are grateful to: Max Alston, Sam Hanson and Adi Sunderam for their encouragement on a predecessor of our paper; Sam Batchelor and Hamish McLean for their excellent data assistance; and Mia Dekovich and Simeon Jasper for information about syndications by the Australian Office of Financial Management. All views expressed are our own and do not necessarily represent those of the Reserve Bank of Australia, the Federal Reserve Bank of New York, or the Federal Reserve System. Any errors are the sole responsibility of the authors.