| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29090 |
| 来源ID | Working Paper 29090 |
| Reserves Were Not So Ample After All | |
| Adam Copeland; Darrell Duffie; Yilin Yang | |
| 发表日期 | 2021-08-02 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-September 2019. We show that repo rates rose above efficient-market levels when the total reserve balances held at the Federal Reserve by the largest repo-active bank holding companies declined and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large bank holding companies. Intraday payment timing stresses are magnified by early-morning settlement of Treasury security issuances. Substantially higher aggregate levels of reserves than existed in the period leading up to September 2019 would likely have eliminated most or all of these payment timing stresses and repo rate spikes. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions |
| URL | https://www.nber.org/papers/w29090 |
| 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/586764 |
| 推荐引用方式 GB/T 7714 | Adam Copeland,Darrell Duffie,Yilin Yang. Reserves Were Not So Ample After All. 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 | ||
| w29090.pdf（656KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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