Accessible Version

Dealer Inventory Constraints during the COVID-19 Pandemic: Evidence from the Treasury Market and Broader Implications, Accessible Data

Figure 1. Observed market yields and fitted yields

This figure shows market observed yields and smooth fitted par yield curves for nominal Treasury securities. The top left panel presents this data for three normal days in 1994: February 1, 1994; June 2, 1994; and December 1, 1994. On these dates, market observed yields were very closely aligned with the par yield curve. The top right panel presents this data for three days during the 2007-2008 financial crisis: September 12, 2008; September 15, 2008; and October 31, 2008. On these dates, market observed yields for many securities differed significantly from the par yield curve. The bottom left panel presents this data for three days in February 2020: February 3, 2020; Febuary 14, 2020; and February 26, 2020. The amount of noise is more than during the three normal days in 1994 but much less than during the 2007-2008 financial crisis. The bottom right panel presents this data for three days in March 2020: March 16, 2020; March 19, 2020; and March 23, 2020. On these dates, market observed yields for many securities differed considerably from the par yield curve.

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Figure 2. Dealer gross positions and Treasury noise

Billions of dollars (left) - Basis points (right)

Date Dealer gross positions = quantity of liquidity (left) Noise = price of liquidity (right)
7/15/1990 274.94 3.10
8/15/1990 290.58 3.32
9/15/1990 291.03 2.90
10/15/1990 300.27 2.82
11/15/1990 316.39 3.41
12/15/1990 293.73 3.60
1/15/1991 302.04 2.74
2/15/1991 311.19 3.09
3/15/1991 311.91 3.81
4/15/1991 322.09 4.05
5/15/1991 324.75 4.02
6/15/1991 313.90 3.43
7/15/1991 307.49 3.19
8/15/1991 329.83 3.38
9/15/1991 316.97 3.35
10/15/1991 314.86 3.15
11/15/1991 312.48 3.41
12/15/1991 310.92 4.41
1/15/1992 361.64 4.66
2/15/1992 352.22 4.18
3/15/1992 341.52 3.57
4/15/1992 344.41 4.51
5/15/1992 353.24 4.36
6/15/1992 362.01 3.71
7/15/1992 392.63 4.24
8/15/1992 421.95 4.90
9/15/1992 415.98 5.37
10/15/1992 426.93 3.74
11/15/1992 416.27 3.52
12/15/1992 407.49 3.66
1/15/1993 407.87 3.23
2/15/1993 417.82 2.77
3/15/1993 435.10 3.46
4/15/1993 431.34 3.14
5/15/1993 427.02 2.84
6/15/1993 440.82 2.37
7/15/1993 471.67 2.48
8/15/1993 486.00 2.90
9/15/1993 500.23 2.46
10/15/1993 469.16 2.45
11/15/1993 480.10 2.52
12/15/1993 470.52 2.66
1/15/1994 457.68 2.57
2/15/1994 475.64 2.60
3/15/1994 483.26 2.36
4/15/1994 460.44 2.49
5/15/1994 404.11 2.66
6/15/1994 373.36 2.61
7/15/1994 359.28 2.77
8/15/1994 367.67 2.82
9/15/1994 368.02 2.32
10/15/1994 361.88 2.36
11/15/1994 363.39 2.90
12/15/1994 359.24 3.65
1/15/1995 342.55 3.11
2/15/1995 341.62 2.36
3/15/1995 339.33 2.29
4/15/1995 334.31 2.04
5/15/1995 348.79 2.54
6/15/1995 357.64 2.60
7/15/1995 352.23 1.92
8/15/1995 342.67 2.00
9/15/1995 359.37 2.11
10/15/1995 367.05 1.92
11/15/1995 380.97 1.95
12/15/1995 397.62 1.89
1/15/1996 394.37 1.74
2/15/1996 399.53 1.73
3/15/1996 397.01 2.19
4/15/1996 386.49 2.28
5/15/1996 362.68 1.74
6/15/1996 359.89 1.89
7/15/1996 362.03 1.95
8/15/1996 368.71 1.83
9/15/1996 367.83 2.06
10/15/1996 392.99 1.81
11/15/1996 422.33 1.58
12/15/1996 426.32 1.50
1/15/1997 417.34 1.57
2/15/1997 429.08 1.48
3/15/1997 436.34 1.47
4/15/1997 441.07 1.45
5/15/1997 427.98 1.56
6/15/1997 431.63 1.44
7/15/1997 455.61 1.51
8/15/1997 452.30 1.43
9/15/1997 445.92 1.66
10/15/1997 464.47 1.60
11/15/1997 457.58 1.44
12/15/1997 427.82 1.46
1/15/1998 441.87 1.56
2/15/1998 409.86 1.55
3/15/1998 417.81 1.35
4/15/1998 418.32 1.57
5/15/1998 428.38 1.70
6/15/1998 429.06 1.85
7/15/1998 403.44 1.88
8/15/1998 412.31 2.25
9/15/1998 403.74 3.05
10/15/1998 370.28 4.34
11/15/1998 327.90 3.32
12/15/1998 333.55 3.49
1/15/1999 324.15 2.75
2/15/1999 321.94 2.49
3/15/1999 327.62 2.27
4/15/1999 328.02 2.11
5/15/1999 347.79 2.16
6/15/1999 361.31 2.37
7/15/1999 376.61 2.30
8/15/1999 368.71 2.66
9/15/1999 356.32 2.80
10/15/1999 347.54 2.91
11/15/1999 353.48 2.77
12/15/1999 351.37 3.30
1/15/2000 355.92 2.81
2/15/2000 365.62 2.36
3/15/2000 347.54 2.17
4/15/2000 338.80 2.12
5/15/2000 322.22 2.44
6/15/2000 321.87 2.42
7/15/2000 330.48 2.26
8/15/2000 313.68 2.28
9/15/2000 322.94 2.09
10/15/2000 320.67 2.33
11/15/2000 320.76 2.38
12/15/2000 347.03 2.78
1/15/2001 342.01 2.67
2/15/2001 331.08 2.41
3/15/2001 339.68 2.42
4/15/2001 344.17 2.84
5/15/2001 329.32 2.58
6/15/2001 326.76 2.52
7/15/2001 336.42 2.66
8/15/2001 321.21 2.44
9/15/2001 343.05 3.52
10/15/2001 351.09 2.48
11/15/2001 347.48 2.61
12/15/2001 336.83 3.72
1/15/2002 338.17 3.30
2/15/2002 336.64 2.58
3/15/2002 345.87 3.10
4/15/2002 360.92 3.08
5/15/2002 327.38 2.44
6/15/2002 328.86 2.66
7/15/2002 364.42 3.16
8/15/2002 357.81 2.52
9/15/2002 366.56 2.34
10/15/2002 374.44 2.49
11/15/2002 356.83 2.43
12/15/2002 356.30 2.37
1/15/2003 356.30 2.40
2/15/2003 357.87 2.31
3/15/2003 370.83 2.18
4/15/2003 388.99 2.03
5/15/2003 408.52 1.88
6/15/2003 438.51 1.95
7/15/2003 452.19 2.42
8/15/2003 416.62 2.10
9/15/2003 420.19 2.24
10/15/2003 425.13 2.03
11/15/2003 436.93 2.18
12/15/2003 498.48 2.32
1/15/2004 498.48 2.19
2/15/2004 470.61 2.00
3/15/2004 491.63 1.82
4/15/2004 520.21 2.06
5/15/2004 531.16 2.39
6/15/2004 558.49 2.29
7/15/2004 577.18 2.17
8/15/2004 547.29 2.31
9/15/2004 511.02 1.97
10/15/2004 494.51 1.90
11/15/2004 490.99 1.86
12/15/2004 518.04 1.53
1/15/2005 514.10 1.44
2/15/2005 515.57 1.21
3/15/2005 525.99 1.39
4/15/2005 527.41 1.48
5/15/2005 520.65 1.62
6/15/2005 523.66 1.88
7/15/2005 511.57 1.91
8/15/2005 502.97 1.67
9/15/2005 509.05 1.58
10/15/2005 480.06 1.82
11/15/2005 484.52 2.20
12/15/2005 483.02 1.61
1/15/2006 471.78 1.44
2/15/2006 478.73 1.32
3/15/2006 465.75 1.44
4/15/2006 468.19 1.59
5/15/2006 482.59 1.47
6/15/2006 470.09 1.75
7/15/2006 464.20 1.59
8/15/2006 471.77 1.95
9/15/2006 480.95 2.05
10/15/2006 487.90 1.99
11/15/2006 490.87 1.86
12/15/2006 515.42 1.87
1/15/2007 485.50 1.56
2/15/2007 472.91 1.44
3/15/2007 468.97 1.78
4/15/2007 496.08 1.75
5/15/2007 499.15 1.47
6/15/2007 506.10 1.55
7/15/2007 498.24 1.84
8/15/2007 485.22 2.20
9/15/2007 453.24 3.05
10/15/2007 459.04 3.19
11/15/2007 439.82 3.78
12/15/2007 409.11 4.18
1/15/2008 441.80 3.89
2/15/2008 454.25 3.70
3/15/2008 465.11 6.57
4/15/2008 424.91 6.95
5/15/2008 389.48 4.90
6/15/2008 374.16 6.75
7/15/2008 354.74 5.96
8/15/2008 357.69 6.15
9/15/2008 369.26 6.92
10/15/2008 312.01 10.62
11/15/2008 273.18 15.82
12/15/2008 268.93 19.84
1/15/2009 254.20 16.66
2/15/2009 275.30 14.21
3/15/2009 278.83 11.47
4/15/2009 266.88 8.49
5/15/2009 267.08 5.74
6/15/2009 273.03 4.85
7/15/2009 273.05 3.63
8/15/2009 291.21 3.53
9/15/2009 298.60 3.40
10/15/2009 307.96 2.96
11/15/2009 324.30 2.86
12/15/2009 318.83 2.60
1/15/2010 332.05 2.39
2/15/2010 338.56 2.19
3/15/2010 354.49 2.33
4/15/2010 380.29 2.33
5/15/2010 397.86 3.12
6/15/2010 372.69 3.68
7/15/2010 372.80 3.51
8/15/2010 413.09 3.20
9/15/2010 436.51 2.28
10/15/2010 468.65 2.22
11/15/2010 472.94 2.03
12/15/2010 442.73 2.86
1/15/2011 434.27 2.93
2/15/2011 463.07 2.35
3/15/2011 459.74 1.74
4/15/2011 465.23 1.62
5/15/2011 509.57 1.66
6/15/2011 482.93 2.18
7/15/2011 465.68 2.25
8/15/2011 481.37 1.80
9/15/2011 480.92 1.89
10/15/2011 495.88 1.60
11/15/2011 488.44 1.67
12/15/2011 492.85 1.54
1/15/2012 480.16 1.46
2/15/2012 498.96 1.50
3/15/2012 486.43 1.09
4/15/2012 493.00 1.08
5/15/2012 484.68 1.52
6/15/2012 489.26 1.50
7/15/2012 487.31 1.20
8/15/2012 453.99 0.93
9/15/2012 478.84 1.41
10/15/2012 480.70 1.32
11/15/2012 507.39 1.23
12/15/2012 523.85 1.34
1/15/2013 499.18 1.17
2/15/2013 492.10 0.90
3/15/2013 467.61 0.98
4/15/2013 482.93 1.31
5/15/2013 472.31 0.90
6/15/2013 465.04 1.35
7/15/2013 454.38 1.58
8/15/2013 448.72 1.65
9/15/2013 470.81 2.19
10/15/2013 489.05 1.70
11/15/2013 466.65 1.49
12/15/2013 482.94 1.74
1/15/2014 471.69 1.36
2/15/2014 492.73 1.19
3/15/2014 503.63 1.00
4/15/2014 487.54 0.98
5/15/2014 471.88 0.86
6/15/2014 471.69 1.07
7/15/2014 433.27 1.43
8/15/2014 435.86 1.53
9/15/2014 423.72 1.34
10/15/2014 441.96 1.54
11/15/2014 420.32 1.25
12/15/2014 430.23 1.38
1/15/2015 414.47 1.38
2/15/2015 401.94 1.53
3/15/2015 393.80 1.50
4/15/2015 384.16 1.46
5/15/2015 376.63 1.40
6/15/2015 380.47 1.62
7/15/2015 380.57 1.67
8/15/2015 386.77 1.45
9/15/2015 375.19 1.50
10/15/2015 376.14 1.46
11/15/2015 353.56 1.64
12/15/2015 368.67 1.75
1/15/2016 394.77 1.38
2/15/2016 387.38 1.73
3/15/2016 352.96 1.93
4/15/2016 361.32 1.70
5/15/2016 368.09 1.60
6/15/2016 387.58 1.47
7/15/2016 393.31 1.43
8/15/2016 389.07 1.44
9/15/2016 400.04 1.59
10/15/2016 389.85 1.43
11/15/2016 406.26 1.41
12/15/2016 388.86 1.94
1/15/2017 399.69 1.25
2/15/2017 388.66 1.11
3/15/2017 393.63 1.21
4/15/2017 409.84 1.19
5/15/2017 415.64 1.24
6/15/2017 418.42 1.02
7/15/2017 393.37 1.16
8/15/2017 386.85 1.10
9/15/2017 404.42 1.07
10/15/2017 398.39 1.25
11/15/2017 428.45 1.29
12/15/2017 407.37 1.50
1/15/2018 392.18 1.32
2/15/2018 399.68 1.07
3/15/2018 378.34 0.98
4/15/2018 387.48 1.06
5/15/2018 387.35 0.81
6/15/2018 397.30 0.69
7/15/2018 392.28 0.63
8/15/2018 388.07 0.61
9/15/2018 378.38 0.54
10/15/2018 404.74 0.57
11/15/2018 427.73 0.70
12/15/2018 450.64 0.97
1/15/2019 458.35 1.12
2/15/2019 443.74 1.22
3/15/2019 438.92 1.09
4/15/2019 454.75 1.18
5/15/2019 468.25 0.96
6/15/2019 463.83 0.82
7/15/2019 456.24 0.85
8/15/2019 460.45 0.85
9/15/2019 430.48 1.02
10/15/2019 406.12 1.05
11/15/2019 419.88 1.27
12/15/2019 420.47 1.13
1/15/2020 442.79 0.93
2/15/2020 428.84 0.93
3/15/2020 456.47 2.11
4/15/2020 370.41 1.37

The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: July 1990–March 1991, March 2001–November 2001, and December 2007–June 2009.

Noise: When intermediaries' inventory capacity is strained, assets can trade at prices away from their fundamental values. Temporary price deviations, or noise in prices, reflect the expected return for providing liquidity. A well−known measure of such price deviations is Treasury noise−−deviations of individual Treasury yields from a smooth fitted yield curve. The noise measure shown here is the average absolute deviation between observed market−based yields and model−implied yields.

Dealer gross positions: Dealer gross positions is the sum of gross long and gross short positions in nominal Treasury securities, from the FR2004, in 2019 dollars, and seasonally adjusted. Dealers smooth out the Treasury yield curve by taking long positions in bonds that investors want to sell and short positions in similar−maturity bonds that investors want to buy. This intermediation does not require dealers to take a net long or net short position, but it does require them to take gross long and gross short positions.

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Figure 3. Dealers’ liquidity supply and investors’ demand for dealer-provided liquidity

Billions of dollars

Date Supply Demand
9/15/1990 216.43 374.37
10/15/1990 225.03 383.85
11/15/1990 225.03 422.95
12/15/1990 205.66 397.92
1/15/1991 228.21 383.46
2/15/1991 227.29 406.36
3/15/1991 215.13 428.05
4/15/1991 218.16 448.65
5/15/1991 220.58 451.35
6/15/1991 222.79 420.42
7/15/1991 222.79 404.74
8/15/1991 234.92 440.21
9/15/1991 226.39 422.10
10/15/1991 228.89 413.33
11/15/1991 222.13 417.48
12/15/1991 205.87 441.53
1/15/1992 235.63 520.74
2/15/1992 236.57 494.35
3/15/1992 239.67 461.85
4/15/1992 226.61 491.88
5/15/1992 234.45 500.82
6/15/1992 251.20 493.86
7/15/1992 262.76 552.38
8/15/1992 271.31 614.77
9/15/1992 260.67 619.71
10/15/1992 295.97 583.62
11/15/1992 293.31 560.73
12/15/1992 284.08 554.04
1/15/1993 294.49 538.21
2/15/1993 314.58 531.79
3/15/1993 308.04 583.62
4/15/1993 313.64 565.80
5/15/1993 319.34 546.89
6/15/1993 346.97 540.36
7/15/1993 366.59 584.79
8/15/1993 361.49 625.31
9/15/1993 389.26 619.09
10/15/1993 365.86 579.55
11/15/1993 371.02 597.79
12/15/1993 358.61 593.03
1/15/1994 352.22 572.06
2/15/1994 364.76 596.00
3/15/1994 380.79 592.44
4/15/1994 357.18 571.49
5/15/1994 307.74 509.41
6/15/1994 285.79 468.83
7/15/1994 270.49 457.26
8/15/1994 275.68 469.77
9/15/1994 291.27 449.10
10/15/1994 284.93 443.74
11/15/1994 270.22 467.43
12/15/1994 250.45 487.97
1/15/1995 249.70 448.20
2/15/1995 269.14 418.74
3/15/1995 269.41 412.92
4/15/1995 274.03 395.93
5/15/1995 269.14 434.96
6/15/1995 274.31 448.20
7/15/1995 293.61 411.27
8/15/1995 282.38 403.93
9/15/1995 292.14 428.48
10/15/1995 306.20 428.05
11/15/1995 316.16 446.41
12/15/1995 333.37 461.85
1/15/1996 338.07 449.55
2/15/1996 343.18 454.98
3/15/1996 319.34 477.83
4/15/1996 307.43 469.77
5/15/1996 311.14 413.33
6/15/1996 301.34 418.32
7/15/1996 300.74 423.79
8/15/1996 311.76 425.07
9/15/1996 301.04 436.26
10/15/1996 333.37 452.25
11/15/1996 372.13 470.24
12/15/1996 380.79 469.30
1/15/1997 367.69 464.63
2/15/1997 384.62 470.71
3/15/1997 392.39 477.83
4/15/1997 397.92 481.18
5/15/1997 378.13 475.44
6/15/1997 389.65 470.71
7/15/1997 405.96 502.83
8/15/1997 409.22 492.87
9/15/1997 387.32 502.83
10/15/1997 407.99 518.66
11/15/1997 412.92 499.32
12/15/1997 384.62 468.36
1/15/1998 390.04 491.39
2/15/1998 362.58 454.98
3/15/1998 384.62 448.20
4/15/1998 369.17 465.10
5/15/1998 369.90 485.53
6/15/1998 361.49 496.33
7/15/1998 338.74 468.36
8/15/1998 329.06 499.82
9/15/1998 295.97 525.97
10/15/1998 246.22 524.39
11/15/1998 234.92 435.39
12/15/1998 235.63 448.20
1/15/1999 244.75 411.68
2/15/1999 249.95 399.51
3/15/1999 260.93 397.52
4/15/1999 266.73 391.21
5/15/1999 280.69 417.48
6/15/1999 284.36 443.30
7/15/1999 298.94 458.63
8/15/1999 280.69 465.10
9/15/1999 267.53 454.98
10/15/1999 258.07 447.75
11/15/1999 266.47 449.55
12/15/1999 252.21 466.03
1/15/2000 267.00 454.52
2/15/2000 288.08 447.75
3/15/2000 280.13 417.48
4/15/2000 274.86 404.74
5/15/2000 251.45 397.92
6/15/2000 251.70 396.73
7/15/2000 263.29 401.11
8/15/2000 249.20 381.55
9/15/2000 263.02 384.62
10/15/2000 253.47 391.99
11/15/2000 251.95 393.96
12/15/2000 261.19 441.97
1/15/2001 260.41 431.49
2/15/2001 259.11 407.99
3/15/2001 265.40 418.74
4/15/2001 257.30 440.65
5/15/2001 253.22 412.09
6/15/2001 252.71 406.77
7/15/2001 256.27 424.22
8/15/2001 250.70 396.73
9/15/2001 241.83 461.85
10/15/2001 272.94 434.96
11/15/2001 266.20 436.26
12/15/2001 233.75 459.55
1/15/2002 242.56 448.65
2/15/2002 258.59 421.26
3/15/2002 252.46 451.80
4/15/2002 263.81 471.18
5/15/2002 255.51 404.34
6/15/2002 250.45 414.57
7/15/2002 264.61 478.78
8/15/2002 276.51 445.52
9/15/2002 289.53 448.20
10/15/2002 290.40 464.63
11/15/2002 278.73 440.65
12/15/2002 280.13 437.14
1/15/2003 279.29 438.45
2/15/2003 283.51 436.70
3/15/2003 298.64 445.97
4/15/2003 319.34 460.01
5/15/2003 342.83 474.49
6/15/2003 364.03 513.50
7/15/2003 353.63 557.38
8/15/2003 339.08 496.83
9/15/2003 335.71 508.90
10/15/2003 349.41 502.32
11/15/2003 351.86 525.44
12/15/2003 394.75 608.04
1/15/2004 400.71 600.19
2/15/2004 388.09 554.60
3/15/2004 416.23 566.37
4/15/2004 425.07 617.23
5/15/2004 416.65 652.78
6/15/2004 443.74 679.42
7/15/2004 465.56 693.15
8/15/2004 433.22 667.30
9/15/2004 423.37 600.19
10/15/2004 413.74 575.50
11/15/2004 413.33 568.64
12/15/2004 460.47 572.63
1/15/2005 464.63 560.17
2/15/2005 489.43 538.75
3/15/2005 479.26 569.21
4/15/2005 472.60 578.97
5/15/2005 455.43 583.62
6/15/2005 439.77 608.04
7/15/2005 427.20 596.60
8/15/2005 436.26 567.50
9/15/2005 448.20 567.50
10/15/2005 406.36 553.49
11/15/2005 389.26 584.20
12/15/2005 423.37 540.36
1/15/2006 426.34 514.53
2/15/2006 443.30 510.94
3/15/2006 420.84 507.88
4/15/2006 411.68 522.82
5/15/2006 433.22 529.14
6/15/2006 402.32 536.60
7/15/2006 408.40 517.62
8/15/2006 391.99 552.38
9/15/2006 393.56 570.35
10/15/2006 403.12 573.78
11/15/2006 412.92 568.64
12/15/2006 432.79 597.79
1/15/2007 428.48 539.82
2/15/2007 427.20 515.56
3/15/2007 399.51 537.67
4/15/2007 424.64 565.80
5/15/2007 448.65 546.34
6/15/2007 448.20 561.29
7/15/2007 420.42 575.50
8/15/2007 389.65 584.79
9/15/2007 332.37 590.07
10/15/2007 332.37 604.41
11/15/2007 303.76 602.59
12/15/2007 274.86 573.78
1/15/2008 302.85 609.26
2/15/2008 315.84 619.09
3/15/2008 275.41 726.50
4/15/2008 247.71 672.66
5/15/2008 250.45 567.50
6/15/2008 219.92 587.72
7/15/2008 215.78 541.45
8/15/2008 215.78 550.18
9/15/2008 215.56 583.62
10/15/2008 161.78 545.80
11/15/2008 126.75 525.44
12/15/2008 117.13 545.80
1/15/2009 116.19 494.85
2/15/2009 131.53 516.07
3/15/2009 141.49 496.83
4/15/2009 147.12 442.86
5/15/2009 164.23 403.93
6/15/2009 175.96 396.73
7/15/2009 190.80 370.27
8/15/2009 205.05 392.39
9/15/2009 212.35 399.11
10/15/2009 227.75 398.32
11/15/2009 242.32 415.82
12/15/2009 244.51 399.91
1/15/2010 260.67 407.99
2/15/2010 272.39 407.58
3/15/2010 280.13 433.22
4/15/2010 300.44 464.63
5/15/2010 289.82 520.74
6/15/2010 259.37 507.37
7/15/2010 262.76 501.82
8/15/2010 298.94 544.16
9/15/2010 346.97 530.73
10/15/2010 375.49 565.80
11/15/2010 388.48 559.05
12/15/2010 330.71 567.50
1/15/2011 321.90 560.17
2/15/2011 365.13 566.94
3/15/2011 393.96 524.39
4/15/2011 407.18 521.26
5/15/2011 442.41 574.93
6/15/2011 388.48 581.29
7/15/2011 371.39 564.67
8/15/2011 408.81 553.49
9/15/2011 402.72 559.05
10/15/2011 434.96 554.60
11/15/2011 423.37 551.28
12/15/2011 437.57 545.80
1/15/2012 432.79 524.92
2/15/2012 445.97 549.08
3/15/2012 474.97 496.33
4/15/2012 482.14 502.32
5/15/2012 431.06 535.52
6/15/2012 436.70 538.75
7/15/2012 462.78 509.41
8/15/2012 463.70 445.97
9/15/2012 434.96 519.70
10/15/2012 445.08 512.98
11/15/2012 478.78 532.85
12/15/2012 482.63 561.86
1/15/2013 478.30 517.62
2/15/2013 506.87 480.22
3/15/2013 469.77 466.03
4/15/2013 448.20 514.53
5/15/2013 485.53 461.39
6/15/2013 428.05 499.32
7/15/2013 399.91 506.36
8/15/2013 390.43 505.35
9/15/2013 378.51 566.94
10/15/2013 421.68 554.60
11/15/2013 417.90 512.98
12/15/2013 413.74 550.73
1/15/2014 432.79 507.37
2/15/2014 468.83 514.01
3/15/2014 503.33 503.83
4/15/2014 490.41 485.53
5/15/2014 491.39 455.89
6/15/2014 462.78 479.26
7/15/2014 391.99 471.65
8/15/2014 387.32 481.66
9/15/2014 390.43 454.52
10/15/2014 391.60 489.92
11/15/2014 394.75 443.30
12/15/2014 393.17 464.63
1/15/2015 379.27 446.86
2/15/2015 357.18 444.19
3/15/2015 351.51 433.65
4/15/2015 345.59 420.42
5/15/2015 342.83 407.99
6/15/2015 332.70 426.77
7/15/2015 329.72 429.77
8/15/2015 349.06 422.10
9/15/2015 335.04 412.92
10/15/2015 338.41 411.68
11/15/2015 308.04 397.52
12/15/2015 315.53 420.84
1/15/2016 360.77 425.92
2/15/2016 332.70 441.09
3/15/2016 294.20 412.09
4/15/2016 311.45 410.04
5/15/2016 323.19 411.27
6/15/2016 348.36 424.64
7/15/2016 356.47 427.62
8/15/2016 351.86 423.79
9/15/2016 351.51 446.41
10/15/2016 352.57 424.64
11/15/2016 368.80 441.09
12/15/2016 323.51 454.52
1/15/2017 375.49 421.26
2/15/2017 377.38 398.71
3/15/2017 373.62 411.68
4/15/2017 390.04 427.20
5/15/2017 391.21 437.57
6/15/2017 416.23 420.42
7/15/2017 377.00 407.58
8/15/2017 376.62 395.93
9/15/2017 396.73 410.86
10/15/2017 374.74 419.58
11/15/2017 399.11 455.43
12/15/2017 364.03 448.20
1/15/2018 362.94 418.74
2/15/2018 392.39 405.96
3/15/2018 380.41 376.62
4/15/2018 381.17 393.17
5/15/2018 410.86 368.43
6/15/2018 440.65 363.67
7/15/2018 446.41 351.16
8/15/2018 445.97 344.90
9/15/2018 449.55 326.77
10/15/2018 474.02 353.63
11/15/2018 471.65 393.56
12/15/2018 454.52 447.31
1/15/2019 444.19 470.71
2/15/2019 420.00 465.10
3/15/2019 428.91 447.75
4/15/2019 434.09 473.07
5/15/2019 473.07 464.17
6/15/2019 490.90 441.97
7/15/2019 477.35 438.89
8/15/2019 482.14 442.41
9/15/2019 427.62 432.79
10/15/2019 400.31 410.86
11/15/2019 392.78 444.19
12/15/2019 406.77 432.79
1/15/2020 451.35 435.39
2/15/2020 438.01 421.26
3/15/2020 370.64 544.71
4/15/2020 339.42 398.71

The shaded bars indicate periods of business recession as defined by the National Bureau of Economic Research: July 1990–March 1991, March 2001–November 2001, and December 2007–June 2009.

Note: This panel shows the liquidity supply index and the liquidity demand index. The liquidity supply index is the model−based quantity of liquidity, in billions of dollars, that dealers would supply if the price of liquidity were 1 basis point. The liquidity demand index is the model−based quantity of liquidity that investors would demand if the price of liquidity were 1 basis point. An increase in the liquidity supply index corresponds to an outward shift in the liquidity supply curve. An increase in the liquidity demand index corresponds to an outward shift in the liquidity demand curve.

Source: Staff calculations based on Goldberg, Jonathan, "Liquidity supply by broker−dealers and real activity," Journal of Financial Economics (2020).

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Last Update: July 17, 2020