Retrospective: The Agency MBS Market on October 15, 2014

James Collin Harkrader and Michael Puglia

No 2020-09-24, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Five years have passed since the Joint Staff Report (JSR) on the US Treasury Market on October 15, 2014 was published. In addition to analyzing the events in Treasury markets on that day, the JSR also outlined next steps for the official sector to take in its study of the evolving structure of the US Treasury market. Importantly, it advised "further study of the evolution of the US Treasury market and its implications for market structure and liquidity." In this spirit, and to complement other work published on the topic, in this note we take a look back at events in the agency MBS market on October 15, 2014 in order to build a more complete picture of what transpired in fixed income markets on that day.

Date: 2020-09-24
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2020-09-24

DOI: 10.17016/2380-7172.2623

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