LQG 2026/10/13 – In-Person and On-Line
The Anatomy of the Treasury Market. An academic analysis of an imperial (financial) wardrobe.
Seminar by Manav Chaudhary
The LQG is very grateful to our hosts Bloomberg.
The Anatomy of the Treasury Market. An academic analysis of an imperial (financial) wardrobe.
The U.S. Treasury’s central role in the financial system rests on its liquidity and safe-haven status. Both may be eroding. Factor regressions can track such properties but cannot say which investors drive them. We develop an equilibrium framework that decomposes yield-factor regressions into investor-level drivers, and an optimal estimator that identifies and efficiently estimates each investor’s responses to yields and factors. Using sector-level flow data for 1986-2023, we document five facts showing that both properties are eroding as private investors such as dealers and foreigners step back. The Federal Reserve has stepped in their place, slowing down the overall erosion of the market’s liquidity and safe-haven status.
The paper on which this talk will be based is available here.
About the Speaker
Manav Chaudhary
Assistant Professor of Finance
London School of Economics
Manav Chaudhary is an Assistant Professor of Finance at the London School of Economics. His research focuses on how institutions — such as banks, dealers, hedge funds, insurers, central banks, regulators — behave and interact with one another, and how this then shapes asset prices. His work addresses three core questions: who holds and trades assets; how the constraints and beliefs of those investors shape these decisions; and what this then ultimately means for the dynamics of asset prices. His papers develop methods and apply them to questions such as: who drives U.S. Treasury yields, how regulatory risk models coordinate and drive financial institution allocations, and what dealer balance-sheet costs imply for bond prices.
Manav holds a PhD in Financial Economics from the University of Chicago, jointly awarded by the Department of Economics and the Booth School of Business, and a BSc and MSc in Econometrics and Mathematical Economics from LSE. Before his PhD, he worked as a macroeconomist at Goldman Sachs.
