Intraday Liquidity and Money Market Dislocations
提出货币政策实施新模型，解释日内流动性要求如何阻止银行在联邦基金与回购市场间套利，导致回购利率飙升，并构建日内超额准备金指标验证理论。
This paper proposes a new model of monetary policy implementation to account for two key developments: (i) the introduction of intraday liquidity requirements and (ii) the decreasing relevance of the federal funds market in favor of repurchase agreement (repo) markets with nonbank participants. Our paper studies how liquidity requirements prevent banks from arbitraging between the fed funds and repo markets and generate large repo spikes. We propose a simple measure of excess intraday reserves. Consistent with our theory, this metric is close to zero in 2019Q2, when U.S. repo markets experienced a spike of 400 basis points. This paper was accepted by Lukas Schmid, finance. Funding: This work was supported by Fama-Miller Center for Research in Finance, Booth School of Business, University of Chicago. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.04037 .