| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14467 |
| DP14467 The market events of mid-September 2019 | |
| Gara Afonso; Marco Cipriani; Adam Copeland; Anna Kovner; Gabriele La Spada; Antoine Martin | |
| 发表日期 | 2020-03-04 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper studies the mid-September 2019 stress in US money markets: on September 16 and-17, unsecured and secured funding rates spiked up and, on the 17, the effective federal funds rate broke the ceiling of the FOMC target range. We highlight two factors that may have contributed to these events. First, reserves may have become scarce for at least some depository institutions, in the sense that these institutions’ reserve holdings may have been close to, or lower than, their desired level. Moreover frictions in the interbank market may have prevented the efficient allocation of reserves across institutions, so that although aggregate reserves may have been higher than the sum of reserves demanded by each institution, they were still scarce given the market’s inability to allocate reserves efficiently. Second, we provide evidence that some large domestic dealers likely experienced an increase in intermediation costs, which lead them to charge higher spreads to ultimate cash borrowers. This increase was due to a temporary reduction in lending from money market mutual funds, including through the Fixed Income Clearing Corporation’s (FICC’s) sponsored repo program. |
| 主题 | Financial Economics |
| 关键词 | Federal funds market Repo market Central bank reserves Regulation Monetary policy implementation |
| URL | https://cepr.org/publications/dp14467 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543365 |
| 推荐引用方式 GB/T 7714 | Gara Afonso,Marco Cipriani,Adam Copeland,et al. DP14467 The market events of mid-September 2019. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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