Template-Type: ReDIF-Paper 1.0
Author-Name: Andreas Schrimpf
Author-X-Name-First: Andreas
Author-X-Name-Last: Schrimpf
Author-Name: Hyun Song Shin
Author-X-Name-First: Hyun Song
Author-X-Name-Last: Shin
Author-Name: Vladyslav Sushko
Author-X-Name-First: Vladyslav
Author-X-Name-Last: Sushko
Title: Leverage and margin spirals in fixed income markets during the Covid-19 crisis
Abstract: For a two-week period in mid-March 2020, government bond markets experienced uncharacteristic turbulence, sometimes selling off sharply in risk-off episodes when they would normally attract safe haven flows. Evidence in the US Treasury market points to forced selling of treasury securities by investors who had attempted to exploit small yield differences through the use of leverage. Even though government bonds are safe assets, large holdings by leveraged investors may detract from orderly market functioning and may necessitate interventions by the central bank.
Length: 8 pages
Creation-Date: 2020-04-02
File-URL: https://www.bis.org/publ/bisbull02.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/bisbull02.htm
File-Format: text/html
Number: 2
Handle: RePEc:bis:bisblt:2