Money Market Disconnect
研究了回购协议中现金与抵押品动机如何导致货币市场分割，发现银行使用央行存款便利和量化宽松合格资产时，回购利率更受抵押品驱动，与融资利率脱节，对货币政策传导有启示。
Abstract A repurchase agreement (repo) is a source of cash and collateral. We document that the money market is more segmented when the collateral motive prevails. Two crucial aspects of the central bank framework lead to this disconnect: banks’ access to the central bank’s deposit facility and assets’ eligibility for quantitative easing (QE). We show that repo rates lent by banks with access to the deposit facility and secured by QE eligible assets are more collateral-driven and disconnected from funding-based money market rates. Our results are relevant for different monetary policies and have suggestive implications for the monetary policy pass-through. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.