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日内流动性与货币市场错位

Intraday Liquidity and Money Market Dislocations
Management Science · 2025 · Adrien d’Avernas、Baiyang Han、Quentin Vandeweyer

中文摘要

本文提出一个新的货币政策实施模型,以解释两个关键变化:(i) 日内流动性要求的引入;(ii) 联邦基金市场重要性下降,而非银行机构参与的回购协议(repo)市场地位上升。本文研究流动性要求如何阻碍银行在联邦基金市场与回购市场之间套利,并导致回购利率大幅飙升。我们提出一个简单的超额日内准备金衡量指标。与我们的理论一致,该指标在2019年第二季度接近于零,而美国回购市场当时经历了400个基点的利率飙升。

Abstract

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.
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