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Discussion Paper

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


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.

https://doi.org/10.17016/2380-7172.2755

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File(s): File format is text/html https://www.federalreserve.gov/econres/notes/feds-notes/treasury-market-functioning-during-the-covid-19-outbreak-evidence-from-collateral-re-use-20201204.htm

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: FEDS Notes

Publication Date: 2020-12-04

Number: 2020-12-04