Bräuning, Falk; Stein, Hillary - 2024 - This version: July 2024
Using confidential microdata, we show that shocks to primary dealers' risk-bearing constraints have significant effects … on the US Treasury securities market. In response to tighter constraints, dealers reduce their Treasury positions …-to-cover ratios decline, driven by dealers' less aggressive bidding, and the highest yield accepted by participants rises, thereby …