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Dealer capacity and U.S. treasury market functionality

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We show a significant loss in U.S. Treasury market functionality when intensive use of dealer balance sheets is needed to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury market liquidity over time, when dealer balance sheet...

Persistent link: https://www.econbiz.de/10014393396

Dealer capacity and US treasury market functionality

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