The Treasury Market in Spring 2020 and the Response of the Federal Reserve

• 成果类型: Article
• 署名作者: Vissing-Jorgensen, Annette
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.10.007
• 发表日期: 2021
• 页码: 19-47
• 关键词: Treasury bonds; Covid; Federal Reserve; quantitative easing

摘要

Treasury yields spiked during the initial phase of COVID. The 10-year yield increased by 64 bps from March 9 to 18, 2020, leading the Federal Reserve to purchase $1T of Trea-suries in 2020Q1. Fed Treasury purchases were causal for reducing Treasury yields based on (1) the timing of purchases (which increased on March 19), (2) evidence against con-founding factors, and (3) the timing of yield reversal and Fed purchases in the MBS market. Treasury-QE worked more via purchases than announcements. The yield spike was driven by liquidity needs of mutual funds, foreign official agencies, and hedge funds that were unaffected by the March 15, 2020 Treasury-QE announcement . Published by Elsevier B.V.