Monetary Policy Implementation and Financial Vulnerability: Evidence from the Overnight Reverse Repurchase Facility
研究了美联储隔夜逆回购工具对回购市场的影响，发现该工具挤出私人回购活动、提高借款成本，并促使借款人转向风险更高的抵押品，可能增加金融脆弱性。
In this paper, we examine the Federal Reserve’s newest policy tool, known as the overnight reverse repo (ONRRP) facility, to understand its effects on the repo market. Using exogenous variation in the parameters of the ONRRP, we show that private repo activity is crowded out when money funds invest in the ONRRP. Additionally, we find that the ONRRP increases lenders’ bargaining power, thereby raising borrower funding costs. Lastly, we show that repo borrowers reallocate to repo backed by riskier collateral and borrow more from ONRRP-ineligible asset managers, both of which could increase financial vulnerability due to instability in dealer funding. Received April 27, 2017; editorial decision October 19, 2017 by Editor Stijn Van Nieuwerburgh.