Hedge Fund Activities Can Influence the U.S. Treasury Yield Curve

Ram Yamarthy and Ron Alquist

No 22-10, The OFR Blog from Office of Financial Research, US Department of the Treasury

Abstract: The March 2020 stress on the U.S. Treasury market raised questions about the role of hedge funds in the financial system and whether their activities can increase systemic risk. Using a sample of regulatory hedge fund data that spanned eight years, Ram Yamarthy and Ron Alquist found that hedge funds play a significant and consistent role in influencing the U.S. Treasury yield curve alongside other market players and forces. Their findings were published in a recent OFR working paper, Hedge Funds and Treasury Market Price Impact: Evidence from Direct Exposures.

Date: 2022-12-27
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.financialresearch.gov/the-ofr-blog/202 ... reasury-yield-curve/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ofr:ofrblg:22-10

Access Statistics for this paper

More papers in The OFR Blog from Office of Financial Research, US Department of the Treasury Contact information at EDIRC.
Bibliographic data for series maintained by Corey Garriott ().