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

Sebastian Infante and Zack Saravay
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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
New Economics Papers: this item is included in nep-fmk and nep-mst
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DOI: 10.17016/2380-7172.2755

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