Treasury Bill Shortages and the Pricing of Short-Term Assets

• 成果类型: Article
• 署名作者: D'Avernas, Adrien; Vandeweyer, Quentin
• 署名单位: Stockholm School of Economics; Swedish House of Finance; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13376
• 发表日期: 2024
• 页码: 4083-4141
• 关键词: Shadow banking; liquidity; MODEL; deviations; management; creation; premium; MARKET; RISK

摘要

We propose a model of post-Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short-term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample reserves for scarce T-bills or repos. Our model quantitatively accounts for post-2010 time series for repo rates, T-bill yields, and the Fed's reverse repo facility usage.