The Demand for Money, Near-Money, and Treasury Bonds

• 成果类型: Article
• 署名作者: Krishnamurthy, Arvind; Li, Wenhao
• 署名单位: Stanford University; National Bureau of Economic Research; University of Southern California
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac074
• 发表日期: 2023
• 页码: 2091
• 关键词: monetary-policy; liquidity

摘要

Bank-created money, shadow-bank money, and Treasury bonds all satisfy investors' demand for liquidity. We measure the quantity of these forms of liquidity and their corresponding liquidity premium in a sample from 1934 to 2016, estimating the substitutability of these assets and the liquidity per unit delivered by each asset. Treasuries and bank transaction deposits are imperfect substitutes, in contrast to perfect substitutes found by Nagel (2016). Bank and nonbank non-transaction deposits are closer substitutes for Treasuries. Our empirical results inform theories of the monetary transmission mechanism running through shifts in asset supplies and models of the coexistence of the shadow banking and regulated banking system.