Dealer capacity and U.S. treasury market functionality

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Bibliographic Details
Authors and Corporations:	Duffie, Darrell (Author), Fleming, Michael J. (Author), Keane, Frank (Author), Nelson, Claire (Author), Shachar, Or (Author), Van Tassel, Peter (Author)
Other Authors:	Fleming, Michael J. [Author] • Keane, Frank [Author] • Nelson, Claire [Author] • Shachar, Or [Author] • Van Tassel, Peter [Author]
Type of Resource:	E-Book
Language:	English
published:	[New York, NY] Federal Reserve Bank of New York [2023]
Series:	Federal Reserve Bank of New York: Staff reports ; no. 1070 (August 2023)
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen

Description
Summary:	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.
Physical Description:	1 Online-Ressource (circa 75 Seiten); Illustrationen
DOI:	10.59576/sr.1070