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The G-Spread Suggests Federal Reserve Restored Calm to Treasury Markets

Author

Listed:
  • Karlye Dilts Stedman

Abstract

In March, the coronavirus pandemic led to a sell-off in Treasury markets and a subsequent period of financial stress. I use one measure of Treasury market pressure, the G-spread, to gauge how liquidity in Treasury markets changed in response to the pandemic and the Federal Reserve’s interventions. I find that timely Federal Reserve interventions restored calm to the Treasury market, and that these interventions stand out in speed and scale compared with interventions in the early days of the 2007–08 financial crisis.

Suggested Citation

  • Karlye Dilts Stedman, 2020. "The G-Spread Suggests Federal Reserve Restored Calm to Treasury Markets," Economic Bulletin, Federal Reserve Bank of Kansas City, pages 1-4, July.
    • Handle: RePEc:fip:fedkeb:88367
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    More about this item

    Keywords

    Federal Reserve interventions; Treasury markets; COVID-19; Treasury securities; Financial markets; Pandemic;
    All these keywords.

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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