The Imperfect Intermediation of Money-Like Assets

• 成果类型: Article; Early Access
• 署名作者: Stein, Jeremy C.; Wallen, Jonathan
• 署名单位: Harvard University; National Bureau of Economic Research; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13500
• 发表日期: 2025
• 关键词: dynamics

摘要

We study supply-and-demand effects in the U.S. Treasury bill market by comparing the returns on T-bills to the policy rate on the Federal Reserve's reverse repurchase (RRP) facility. We develop and test a simple model where the RRP-bill spread is policed both by heterogeneously elastic money funds and by corporate treasurers who derive collateral benefits from holding T-bills. In response to shifts in T-bill supply, money funds act as front-line arbitrageurs. However, when T-bills become extremely scarce, less elastic corporate treasurers become the marginal investors and supply shifts have a larger effect on T-bill rates.