Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 13th May 2024, 11:04:56pm EDT

 
 
Session Overview
Session
Track T2-2: Microstructure
Time:
Tuesday, 21/May/2024:
9:30am - 10:15am

Session Chair: Briana Chang, UW Madison
Discussant: Sebastien Plante, UW Madison
Location: Room 619


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Presentations

Dealer Capacity and US Treasury Market Functionality

Darrell Duffie1, Michael Fleming2, Frank Keane2, Claire Nelson3, Or Shachar2, Peter Van Tassel4

1Stanford University; 2Federal Reserve Bank of New York; 3Princeton University; 4Independent

We show a significant loss in US 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 utilization reaches sufficiently high levels, liquidity is much worse than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the intermediation capacity of bond markets.


Duffie-Dealer Capacity and US Treasury Market Functionality-531.pdf


 
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