We study common determinants of daily bid-ask spreads and trading volume for the bond and stock markets over the 1991-98 period. We find that spread changes in one market are affected by lagged spread and volume changes in both markets. Further, spread and volume changes are predictable to a...

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid-ask spreads and depth), returns, volatility, and...

Remarks at the Regional Economic Press Briefing, New York City.

Remarks at Queens Chamber of Commerce and Queens Economic Development Corporation, Flushing, New York City.

Remarks at Queens College, Flushing, New York.

Remarks before the Morris County Chamber of Commerce, Florham Park, New Jersey.

Remarks at United States Military Academy at West Point, West Point, New York.

Remarks at Pace University, New York City.

Remarks at E-3 Summit of the Americas: Export Trade Basics Forum 101, San Juan, Puerto Rico.

Remarks at New York University's Stern School of Business, New York City.