Central banker to the world: Foreign reserve management and U.S. money market liquidity
Journal of International Economics · 2026 · Ron Alquist、R. Jay Kahn、Karlye Dilts Stedman
中文摘要
我们构建了一个模型，展示外汇储备管理决策如何对美国货币市场流动性产生不利影响。与2020年3月的“追逐现金”（dash-for-cash）风潮相一致，模型表明，随着出口价格波动性上升，实行汇率钉住的外国央行会将其储备从流动性相对较差的美国国债转向美联储的逆回购便利。在相关时期内，这种预防性行为从美国货币市场中抽走流动性，并推高回购利差。这些预测为识别外国央行对美元流动性的需求对回购利差的影响提供了一个可信的识别渠道，其方法利用了实行汇率钉住的大宗商品出口国的特征。经验证据支持模型的预测：这些央行的预防性抛售导致回购利差在统计上和经济上显著扩大，同时伴随国债余额的减少。这些结果凸显了美联储的对外回购便利如何缓解全球美元融资压力并保护美国短期融资市场。
Abstract
We develop a model that shows how foreign reserve management decisions can adversely affect U.S. money market liquidity. Consistent with the March 2020 dash-for-cash, our model suggests that as export-price volatility increases, a foreign central bank that pegs its exchange rate shifts reserves from relatively illiquid Treasuries to the Fed’s reverse repo facility. Over the relevant horizon, this precautionary behavior drains liquidity from U.S. money markets and raises repo spreads. These predictions provide a credible channel to identify the effect of foreign central bank demand for dollar liquidity on repo spreads, exploiting the characteristics of commodity exporters with pegged exchange rates. Empirical evidence supports the model’s predictions: precautionary sales by these central banks lead to a statistically and economically significant widening of repo spreads, accompanied by a drawdown in Treasury balances. These results underscore how the Fed’s foreign-repo facilities mitigate global dollar-funding stress and protect U.S. short-term funding markets.