Mutual funds investing in illiquid corporate bonds actively manage Treasury positions to buffer redemption shocks. This liquidity management practice can transmit non-fundamental fund flow shocks onto Treasuries, generating excess return volatility. Consistent with this hypothesis, we find that Treasury excess return volatility is positively associated with bond fund ownership, and this pattern is more pronounced among funds conducting intensive liquidity management. Causal evidence is provided by exploiting the U.S. Securities and Exchange Commission’s 2017 Liquidity Risk Management Rule. Evidence also suggests that the COVID-19 Treasury market turmoil was attributed to intensified liquidity management, an unintended consequence of the 2017 Liquidity Risk Management Rule. (JEL G01, G12, G14, G23)

中文翻译：

---

流动性管理是否会导致国债价格的脆弱性？来自债券共同基金的证据


投资于流动性不足的公司债券的共同基金积极管理国债头寸，以缓冲赎回冲击。这种流动性管理做法可以将非基本面资金流动冲击传导到美国国债，从而产生超额回报波动。与这一假设一致，我们发现美国国债超额收益波动性与债券基金所有权呈正相关，这种模式在进行密集流动性管理的基金中更为明显。因果证据是通过利用美国证券交易委员会的 2017 年流动性风险管理规则提供的。证据还表明，COVID-19 国债市场动荡归因于流动性管理加强，这是 2017 年流动性风险管理规则的意外后果。（JEL G01、G12、G14、G23）