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

Sebastian Infante and Zack Saravay
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Sebastian Infante: https://www.federalreserve.gov/econres/sebastian-infante.htm

No 2020-12-04, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Date: 2020-12-04
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2020-12-04

DOI: 10.17016/2380-7172.2755

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