Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility

• 成果类型: Article
• 署名作者: Anderson, Alyssa G.; Kandrac, John
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx141
• 发表日期: 2018
• 页码: 3643
• 关键词: market; safe; STABILITY; term

摘要

In this paper, we examine the Federal Reserve's newest policy tool, known as the overnight reverse repo (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP, we show that private repo activity is crowded out when money funds invest in the ONRRP. Additionally, we find that the ONRRP increases lenders' bargaining power, thereby raising borrower funding costs. Lastly, we show that repo borrowers reallocate to repo backed by riskier collateral and borrow more from ONRRP-ineligible asset managers, both of which could increase financial vulnerability due to instability in dealer funding.