| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28658 |
| 来源ID | Working Paper 28658 |
| Arbitrage Capital of Global Banks | |
| Alyssa G. Anderson; Wenxin Du; Bernd Schlusche | |
| 发表日期 | 2021-04-12 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We show that the role of unsecured, short-term wholesale funding for global banks has changed significantly in the post-financial-crisis regulatory environment. Global banks mainly use such funding to finance liquid, near risk-free arbitrage positions—in particular, the interest on excess reserves arbitrage and the covered interest rate parity arbitrage. In this environment, we examine the response of global banks to a large negative wholesale funding shock as a result of the U.S. money market mutual fund reform implemented in 2016. In contrast to past episodes of wholesale funding dry-ups, we find that 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w28658 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586332 |
| 推荐引用方式 GB/T 7714 | Alyssa G. Anderson,Wenxin Du,Bernd Schlusche. Arbitrage Capital of Global Banks. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28658.pdf（818KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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