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Hedge Fund Activities Can Influence the U.S. Treasury Yield Curve

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  • Ram Yamarthy
  • Ron Alquist

Abstract

The March 2020 stress on the U.S. Treasury market raised questions about the role of hedge funds in the financial system and whether their activities can increase systemic risk. Using a sample of regulatory hedge fund data that spanned eight years, Ram Yamarthy and Ron Alquist found that hedge funds play a significant and consistent role in influencing the U.S. Treasury yield curve alongside other market players and forces. Their findings were published in a recent OFR working paper, Hedge Funds and Treasury Market Price Impact: Evidence from Direct Exposures.

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Handle: RePEc:ofr:ofrblg:22-10
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File URL: https://www.financialresearch.gov/the-ofr-blog/2022/12/27/hedge-fund-activities-can-influence-the-us-treasury-yield-curve/
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