Pandemic Treasuries market calmed quickly – research

Federal Reserve Bank of Dallas
The Federal Reserve Bank of Dallas
Photo: Andreas Praefcke

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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