Arbitrage Capital of Global Banks
研究了2016年美国货币市场基金改革对全球银行融资供应和业务的影响，发现银行主要削减依赖无担保融资的套利头寸，而非减少贷款。
ABSTRACT We study the impact of the U.S. money market fund reform implemented in October 2016 on global banks' funding supply and business activities. We show that the reform induced a large negative wholesale funding shock for global banks. In contrast to the conventional bank lending channel, the primary response of global banks to the reform was a cutback in arbitrage positions that relied on unsecured funding, rather than a reduction in loan provision. We discuss the role of postcrisis liquidity regulations and unconventional monetary policy in explaining our findings, and implications for banks' business models and deposit competition.