Pandemic Treasuries market calmed quickly – research
Dallas Fed analysis finds “headwinds” early on, but not lasting pandemic disruptions
The Covid-19 pandemic did not cause long-term disruptions to the market for long-term Treasuries, research published by the Federal Reserve Bank of Dallas.
Michael Tindell and Michael Perez looked at demand for 10-year Treasuries, using data on the bid-to-cover ratio.
They also created an artificial index to measure the “tail,” which “is the highest yield accepted at auction less the security’s when-issued yield [yield on forward markets] immediately before the auction’s conclusion”.
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