Treasury Market Liquidity during the COVID-19 Crisis

Michael Fleming and Francisco Ruela

No 20200417, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: A key objective of recent Federal Reserve policy actions is to address the deterioration in financial market functioning. The U.S. Treasury securities market, in particular, has been the subject of Fed and market participants’ concerns, and the venue for some of the Fed’s initiatives. In this post, we evaluate a basic metric of market functioning for Treasury securities— market liquidity—through the first month of the Fed’s extraordinary actions. Our particular focus is on how liquidity in March 2020 compares to that observed over the past fifteen years, a period that includes the 2007-09 financial crisis.

Keywords: COVID-19; coronavirus; liquidity; Treasury securities (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2020-04-17
New Economics Papers: this item is included in nep-fmk
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