Treasury Bill Shortages and the Pricing of Short‐Term Assets
构建了一个后金融危机时代的货币市场模型，指出资本监管使银行不愿向影子银行提供流动性，导致国债短缺成为短期利差的主要驱动因素，并解释了回购利率、国债收益率等数据的变化。
ABSTRACT We propose a model of post‐Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short‐term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample reserves for scarce T‐bills or repos. Our model quantitatively accounts for post‐2010 time series for repo rates, T‐bill yields, and the Fed's reverse repo facility usage.