The Effect of Primary Dealer Constraints on Intermediation in the Treasury Market

• 成果类型: Article; Early Access
• 署名作者: Brauning, Falk; Stein, Hillary
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag043
• 发表日期: 2026-06-02
• 关键词: G10; G12; G18; G21; liquidity; MODEL

摘要

Using confidential microdata, we show that shocks to primary dealers' constraints have significant effects on the U.S. Treasury securities market. We consider two types of constraints: the supplementary leverage ratio and trading desk value-at-risk constraints. In response to tighter constraints, dealers reduce their Treasury positions, triggering a reduction in aggregate turnover and an increase in dealer intermediation margin. Impaired intermediation also amplifies the yield response to net demand shifts and weakens Treasury auction outcomes. Our estimates suggest that the (shadow) cost of dealer constraints is as high as 9% of dealers' profit margins.