A $30 billion Treasury auction Tuesday included four-week securities that offered zero returns and, briefly, three-month securities with negative yields, The New York Times reported.

The demand at the Treasury auction exceeded supply, the Times said.

"The last time this happened was the Great Depression, when people are willing to accept no return on their money, or possibly even a negative return," Edward Yardeni, an independent analyst, told the Times.

"It's not a good sign," he said.

The surge in demand for government debt began when short-term money markets froze in September when the Reserve Primary Fund collapsed in part due to money invested in Lehman Brothers, the Times said.

Since then, $200 billion has been invested in funds that buy only Treasury bills, iMoney.Net reported.