The Fed’s Treasury Purchase Prices During the Pandemic

Maximilian Dunn, Michael Fleming, Ellen Correia Golay, Peter Johansson, Isabel Krogh, Or Shachar and Josh Younger

No 20250708, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: In March 2020, the Federal Reserve commenced purchases of U.S. Treasury securities to address the market disruptions caused by the pandemic. This post assesses the execution quality of those purchases by comparing the Fed’s purchase prices to contemporaneous market prices. Although past work has considered this question in the context of earlier asset purchases, the market dysfunction spurred by the pandemic means that execution quality at that time may have differed. Indeed, we find that the Fed’s execution quality was unusually good in 2020 in that the Fed bought Treasuries at prices appreciably lower than prevailing market offer prices.

Keywords: Treasury; securities (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2025-07-08
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