The Treasury Market in Spring 2020 and the Response of the Federal Reserve

Annette Vissing-Jorgensen

No 29128, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Treasury yields spiked during the initial phase of COVID. The 10-year yield increased by 64 bps from March 9 to 18, 2020, leading the Federal Reserve to purchase $1T of Treasuries in 2020Q1. Fed purchases were causal for reducing Treasury yields based on the timing of purchases (which increased on March 19), the timing of yield reversal and Fed purchases in the MBS market, and evidence against confounding factors. Treasury-QE worked more via purchases than announcements. The yield spike was driven by liquidity needs of mutual funds, foreign official agencies, and hedge funds that were unaffected by the March 15 Treasury-QE announcement.

JEL-codes: E5 G12 (search for similar items in EconPapers)
Date: 2021-08
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-isf, nep-mac and nep-mon
Note: AP ME
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Citations: View citations in EconPapers (17)

Published as Annette Vissing-Jorgensen, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," Journal of Monetary Economics, .

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Journal Article: The Treasury Market in Spring 2020 and the Response of the Federal Reserve (2021)
Working Paper: The Treasury market in spring 2020 and the response of the Federal Reserve (2021)
Working Paper: The Treasury Market in Spring 2020 and the Response of the Federal Reserve (2021)
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