| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29128 |
| 来源ID | Working Paper 29128 |
| The Treasury Market in Spring 2020 and the Response of the Federal Reserve | |
| Annette Vissing-Jorgensen | |
| 发表日期 | 2021-08-09 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 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 Treasuries in 2020Q1. Fed purchases were causal for reducing Treasury yields based on the timing of purchases (which increased on March 19), the timing of yield reversal and Fed purchases in the MBS market, and evidence against confounding factors. 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 Treasury-QE announcement. |
| 主题 | Macroeconomics ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; COVID-19 |
| URL | https://www.nber.org/papers/w29128 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586802 |
| 推荐引用方式 GB/T 7714 | Annette Vissing-Jorgensen. The Treasury Market in Spring 2020 and the Response of the Federal Reserve. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w29128.pdf（1004KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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