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Journal Article

The G-Spread Suggests Federal Reserve Restored Calm to Treasury Markets


Abstract: In March, the coronavirus pandemic led to a sell-off in Treasury markets and a subsequent period of financial stress. I use one measure of Treasury market pressure, the G-spread, to gauge how liquidity in Treasury markets changed in response to the pandemic and the Federal Reserve’s interventions. I find that timely Federal Reserve interventions restored calm to the Treasury market, and that these interventions stand out in speed and scale compared with interventions in the early days of the 2007–08 financial crisis.

Keywords: Federal Reserve interventions; Treasury markets; COVID-19; Treasury securities; Financial markets; Pandemic;

JEL Classification: D53;

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File(s): File format is application/pdf https://www.kansascityfed.org/documents/5442/2020-eb20stedman0708.pdf
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Authors

Bibliographic Information

Provider: Federal Reserve Bank of Kansas City

Part of Series: Economic Bulletin

Publication Date: 2020-07-08

Pages: 4