Arbitrage Capital of Global Banks

• 成果类型: Article
• 署名作者: Anderson, Alyssa; Du, Wenxin; Schlusche, Bernd
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; Harvard University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13478
• 发表日期: 2025
• 页码: 2591-2638
• 关键词: COMMERCIAL PAPER; MARKET; transmission; deviations; CRISIS; safe

摘要

We study the impact of the U.S. money market fund reform implemented in October 2016 on global banks' funding supply and business activities. We show that the reform induced a large negative wholesale funding shock for global banks. In contrast to the conventional bank lending channel, the primary response of global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in loan provision. We discuss the role of postcrisis liquidity regulations and unconventional monetary policy in explaining our findings, and implications for banks' business models and deposit competition.