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Treasury Market Functioning During the COVID-19 Outbreak: Evidence from Collateral Re-use

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In March 2020, uncertainty over the COVID-19 pandemic caused severe stress in U.S. financial markets. Specifically, Fleming and Ruela (2020) document a severe impairment of Treasury market functioning, as indicated by a sharp increase in bid/ask spreads, a decline in market depth, and an increase in price impact measures.

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  • Sebastian Infante & Zack Saravay, 2020. "Treasury Market Functioning During the COVID-19 Outbreak: Evidence from Collateral Re-use," FEDS Notes 2020-12-04, Board of Governors of the Federal Reserve System (U.S.).
    • Handle: RePEc:fip:fedgfn:2020-12-04
    DOI: 10.17016/2380-7172.2755
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    File URL: https://www.federalreserve.gov/econres/notes/feds-notes/treasury-market-functioning-during-the-covid-19-outbreak-evidence-from-collateral-re-use-20201204.htm
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    Cited by:

    1. Bank for International Settlements, 2021. "Changing patterns of capital flows," CGFS Papers, Bank for International Settlements, number 66, december.
    2. Sebastian Infante & Zack Saravay, 2020. "What Drives U.S. Treasury Re-use?," Finance and Economics Discussion Series 2020-103r1, Board of Governors of the Federal Reserve System (U.S.), revised 24 Aug 2021.

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