Intraday Liquidity and Money Market Dislocations

• 成果类型: Article; Early Access
• 署名作者: d'Avernas, Adrien; Han, Baiyang; Vandeweyer, Quentin
• 署名单位: Stockholm School of Economics; Stanford University; University of Chicago
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.04037
• 发表日期: 2025
• 关键词: REPO; Money markets; reserves; Monetary policy implementation

摘要

This paper proposes a new model of monetary policy implementation to account for two key developments: (i) the introduction of intraday liquidity requirements and (ii) the decreasing relevance of the federal funds market in favor of repurchase agreement (repo) markets with nonbank participants. Our paper studies how liquidity requirements prevent banks from arbitraging between the fed funds and repo markets and generate large repo spikes. We propose a simple measure of excess intraday reserves. Consistent with our theory, this metric is close to zero in 2019Q2, when U.S. repo markets experienced a spike of 400 basis points.