Dealer capacity and U.S. treasury market functionality

Arbeitspapier

We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 1070

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Asset Pricing; Trading Volume; Bond Interest Rates ; General Financial Markets: Government Policy and Regulation ; Central Banks and Their Policies
• Thema: Treasury market ; liquidity ; volatility ; dealer intermediation ; value-at-risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Duffie, Darrell ; Fleming, Michael J. ; Keane, Frank ; Nelson, Claire ; Shachar, Or ; Van Tassel, Peter
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2023

Weitere Informationen

• DOI: doi:10.59576/sr.1070
• Handle: http://hdl.handle.net/10419/284030
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ