The Treasury market in spring 2020 and the response of the Federal Reserve
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Vissing-Jorgensen, Annette, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," Journal of Monetary Economics, Elsevier, vol. 124(C), pages 19-47.
- Vissing-Jørgensen, Annette, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," CEPR Discussion Papers 16410, C.E.P.R. Discussion Papers.
- Annette Vissing-Jorgensen, 2021. "The Treasury Market in Spring 2020 and the Response of the Federal Reserve," NBER Working Papers 29128, National Bureau of Economic Research, Inc.
References listed on IDEAS
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2012.
"The Aggregate Demand for Treasury Debt,"
Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 233-267.
- Annette Vissing-Jorgensen & Arvind Krishnamurthy, 2008. "The Aggregate Demand for Treasury Debt," 2008 Meeting Papers 713, Society for Economic Dynamics.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011.
"The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(2 (Fall)), pages 215-287.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," NBER Working Papers 17555, National Bureau of Economic Research, Inc.
- He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022.
"Treasury inconvenience yields during the COVID-19 crisis,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.
- Andreas Schrimpf & Hyun Song Shin & Vladyslav Sushko, 2020. "Leverage and margin spirals in fixed income markets during the Covid-19 crisis," BIS Bulletins 2, Bank for International Settlements.
- Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2024.
"The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF,"
Journal of Monetary Economics, Elsevier, vol. 146(C).
- Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," CEPR Discussion Papers 15258, C.E.P.R. Discussion Papers.
- Simon Gilchrist & Bin Wei & Vivian Z Yue & Egon Zakrajšek, 2021. "The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF," BIS Working Papers 963, Bank for International Settlements.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," NBER Working Papers 27809, National Bureau of Economic Research, Inc.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2024. "The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," Working Papers 24-2, Federal Reserve Bank of Boston.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," FRB Atlanta Working Paper 2020-18, Federal Reserve Bank of Atlanta.
- Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
- Daniel Barth & Jay Kahn, 2020. "Basis Trades and Treasury Market Illiquidity," Briefs 20-01, Office of Financial Research, US Department of the Treasury.
- Falato, Antonio & Goldstein, Itay & Hortaçsu, Ali, 2021.
"Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets,"
Journal of Monetary Economics, Elsevier, vol. 123(C), pages 35-52.
- Antonio Falato & Itay Goldstein & Ali Hortaçsu, 2020. "Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets," NBER Working Papers 27559, National Bureau of Economic Research, Inc.
- Matthias Fleckenstein & Francis A Longstaff & Stijn Van Nieuwerburgh, 2020. "Renting Balance Sheet Space: Intermediary Balance Sheet Rental Costs and the Valuation of Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 33(11), pages 5051-5091.
- Arvind Krishnamurthy & Annette Vissing-Jorgensen, 2011. "The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 215-287.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- He, Zhiguo & Nagel, Stefan & Song, Zhaogang, 2022.
"Treasury inconvenience yields during the COVID-19 crisis,"
Journal of Financial Economics, Elsevier, vol. 143(1), pages 57-79.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," Working Papers 2020-79, Becker Friedman Institute for Research In Economics.
- Zhiguo He & Stefan Nagel & Zhaogang Song, 2020. "Treasury Inconvenience Yields during the COVID-19 Crisis," NBER Working Papers 27416, National Bureau of Economic Research, Inc.
- Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
- Jiakai Chen & Haoyang Liu & Asani Sarkar & Zhaogang Song, 2020. "Dealers and the Dealer of Last Resort: Evidence from the Agency MBS Markets in the COVID-19 Crisis," Staff Reports 933, Federal Reserve Bank of New York.
- Acharya, Viral V. & Plantin, Guillaume & Reggiani, Pietro & Yao, Iris, 2024. "Monetary easing, lack of investment and financial instability," Journal of Financial Intermediation, Elsevier, vol. 59(C).
- Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2024.
"The Fed takes on corporate credit risk: An analysis of the efficacy of the SMCCF,"
Journal of Monetary Economics, Elsevier, vol. 146(C).
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," FRB Atlanta Working Paper 2020-18, Federal Reserve Bank of Atlanta.
- Simon Gilchrist & Bin Wei & Vivian Z Yue & Egon Zakrajšek, 2021. "The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF," BIS Working Papers 963, Bank for International Settlements.
- Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," CEPR Discussion Papers 15258, C.E.P.R. Discussion Papers.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," NBER Working Papers 27809, National Bureau of Economic Research, Inc.
- Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2024. "The Fed Takes On Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," Working Papers 24-2, Federal Reserve Bank of Boston.
- Alessandro Rebucci & Jonathan S. Hartley & Daniel Jiménez, 2022.
"An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 291-322,
Emerald Group Publishing Limited.
- Alessandro Rebucci & Jonathan S. Hartley & Daniel Jiménez, 2020. "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," NBER Working Papers 27339, National Bureau of Economic Research, Inc.
- Rebucci, Alessandro & Hartley, Jonathan, 2020. "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," CEPR Discussion Papers 14841, C.E.P.R. Discussion Papers.
- Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Andrieș, Alin Marius & Ongena, Steven & Sprincean, Nicu, 2021.
"The COVID-19 Pandemic and Sovereign Bond Risk,"
The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Alin Marius Andries & Steven Ongena & Nicu Sprincean, 2020. "The COVID-19 Pandemic and Sovereign Bond Risk," Swiss Finance Institute Research Paper Series 20-42, Swiss Finance Institute.
- Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021.
"Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets],"
The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
- Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2020. "Corporate Bond Liquidity During the COVID-19 Crisis," NBER Working Papers 27355, National Bureau of Economic Research, Inc.
- Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zuniga, 2020. "Corporate Bond Liquidity During the COVID-19 Crisis," Working Papers WP 20-43, Federal Reserve Bank of Philadelphia.
- Weill, Pierre-Olivier & Kargar, Mahyar & Lester, Benjamin & Lindsay, David & Liu, Shuo & Zúñiga, Diego, 2020. "Corporate Bond Liquidity During the COVID-19 Crisis," CEPR Discussion Papers 15231, C.E.P.R. Discussion Papers.
- Zaghini, Andrea, 2024.
"Unconventional green,"
Journal of Corporate Finance, Elsevier, vol. 85(C).
- Zaghini, Andrea, 2023. "Unconventional green," CFS Working Paper Series 710, Center for Financial Studies (CFS).
- Andrea Zaghini, 2024. "Unconventionally green," Temi di discussione (Economic working papers) 1453, Bank of Italy, Economic Research and International Relations Area.
- Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022.
"It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities,"
Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
- Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It’s What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," Staff Reports 935, Federal Reserve Bank of New York.
- Nina Boyarchenko & Anna Kovner & Or Shachar, 2020. "It's What You Say and What You Buy: A Holistic Evaluation of the Corporate Credit Facilities," CESifo Working Paper Series 8679, CESifo.
- Daan Steenkamp & Henk Janse van Vuuren & Rossouw van Jaarsveld & Roy Havemann, 2022.
"The bond market impact of the South African Reserve Bank bond purchase programme,"
Working Papers
876, Economic Research Southern Africa.
- Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
- Falato, Antonio & Goldstein, Itay & Hortaçsu, Ali, 2021.
"Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets,"
Journal of Monetary Economics, Elsevier, vol. 123(C), pages 35-52.
- Antonio Falato & Itay Goldstein & Ali Hortaçsu, 2020. "Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets," NBER Working Papers 27559, National Bureau of Economic Research, Inc.
- Hartley, Jonathan S. & Jermann, Urban J., 2024. "The pricing of U.S. Treasury floating rate notes," Journal of Financial Economics, Elsevier, vol. 155(C).
- Pegoraro, Stefano & Montagna, Mattia, 2021. "Issuance and valuation of corporate bonds with quantitative easing," Working Paper Series 2520, European Central Bank.
- Ari Kutai & Daniel Nathan & Milena Wittwer, 2024. "Exchanges for government bonds? Evidence during COVID-19," Bank of Israel Working Papers 2024.03, Bank of Israel.
- Valentin Haddad & Alan Moreira & Tyler Muir, 2020. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response," NBER Working Papers 27168, National Bureau of Economic Research, Inc.
- Jason Allen & Milena Wittwer, 2023.
"Centralizing Over-the-Counter Markets?,"
Journal of Political Economy, University of Chicago Press, vol. 131(12), pages 3310-3351.
- Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
- Swanson, Eric T., 2021.
"Measuring the effects of federal reserve forward guidance and asset purchases on financial markets,"
Journal of Monetary Economics, Elsevier, vol. 118(C), pages 32-53.
- Eric Swanson, 2016. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," 2016 Meeting Papers 1222, Society for Economic Dynamics.
- Eric T. Swanson, 2017. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," NBER Working Papers 23311, National Bureau of Economic Research, Inc.
- Schlepper, Kathi & Riordan, Ryan & Hofer, Heiko & Schrimpf, Andreas, 2017.
"Scarcity effects of QE: A transaction-level analysis in the Bund market,"
Discussion Papers
06/2017, Deutsche Bundesbank.
- Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
More about this item
Keywords
Treasury bonds; COVID; Federal Reserve; quantitative easing.;All these keywords.
JEL classification:
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2021-11-08 (Financial Markets)
- NEP-MAC-2021-11-08 (Macroeconomics)
- NEP-MON-2021-11-08 (Monetary Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:biswps:966. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Martin Fessler (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.