US Government Bond Liquidity during the COVID 19 Pandemic

I study whether the Federal Reserve interventions had been effective in supporting the government bond liquidity during the COVID-19 pandemic. Many Treasuries illiquidity measures surpassed the Great Recession levels during the period. Illiquidity spikes do not seem to match with proposed explanatory events. It took the Federal Reserve two interventions and approximately two weeks to normalize the nominal bonds liquidity, including the most liquid on-the-run bonds. At the same time, the Federal Reserve interventions had almost no effect on the illiquidity spike in inflation-linked bonds, which, while milder, turned out to be much more persistent than in nominal Treasuries.