IMF-测试美国国债回购计划的流动性支持效应（英）-2025_42页_2mb

Summary of the Liquidity Support Effects of the U.S. Treasury Buyback Program

The IMF Working Paper analyzes the liquidity support effects of the U.S. Treasury liquidity support buyback program introduced in May 2024. Below is a summary of key findings:

Key Findings

1. Listing Effect:

   • Buybacks narrow bid-ask spreads by 0.2 basis points on average and increase prices for listed securities.
   • Effects are more pronounced for front-end securities (maturity < 2 years) and when primary dealers hold larger inventories.
   • The spread impact is transient, lasting only a few days post-listing.
   • Both bid and ask prices increase by up to 4 cents following listing.

2. Purchasing Effect:

   • Treasury purchases further narrow spreads and boost prices, but the evidence is robust only for front-end securities and when dealers hold large inventories.
   • The effect persists longer than listing effects, maintaining price changes for weeks.

3. Aggregate Effects:

   • Buybacks reduce primary dealers’ Treasury holdings (bills and coupons) by $1.5 billion over six weeks and $0.2 billion over two weeks.
   • Effects are more substantial than typical redemptions and persist longer.

4. Theoretical Model:

   • Buybacks act as predictable demand injections, reducing inventory risks and improving liquidity.
   • Listing shifts the pricing curve, while purchasing reduces inventory along the curve.

5. Program Design:

   • Effects are modest relative to the program scale but function as intended.
   • Potential to scale up during liquidity stress to enhance market resilience.

Conclusion

The buyback program provides measurable liquidity support, especially for front-end securities and when dealers face inventory constraints. Findings suggest buybacks could be scaled to address future disruptions.