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Wenxin Du Profile picture
Wenxin Du
@WenxinDu
finance professor @ChicagoBooth and @NewYorkFed economist, research in international finance. personal views only.
Jul 11, 2022 • 6 tweets • 2 min read
Pleased to share a new NBER working paper on the dealer balance sheet constraints and Treasury yield curve. We always start with striking charts.
(1) Primary dealers switched from being net short to net long in Treasury bonds post-GFC;
(2) The primary dealers' position in Treasury bonds is strongly correlated with the swap-Treasury spread and CIP deviations post-GFC.