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

Karlye Dilts Stedman

Economic Bulletin, 2020, 4

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.

Keywords: Federal Reserve interventions; Treasury markets; COVID-19; Treasury securities; Financial markets; Pandemic (search for similar items in EconPapers)
JEL-codes: D53 (search for similar items in EconPapers)
Date: 2020
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