2019年9月中旬的市场事件

Gara M. Afonso, M. Cipriani, Adam Copeland, A. Kovner, Gabriele La Spada, Antoine Martin
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引用次数: 24

摘要

本文研究了2019年9月中旬美国货币市场的压力:9月16日和17日,无担保和有担保融资利率飙升,9月17日,有效联邦基金利率突破了联邦公开市场委员会(FOMC)目标区间的上限。我们强调了可能导致这些事件的两个因素。首先,至少对一些存款机构来说,准备金可能已经变得稀缺,因为这些机构的准备金持有量可能已经接近或低于它们期望的水平。此外,银行间市场的摩擦可能阻碍了机构间准备金的有效配置,因此,尽管总准备金可能高于每家机构所需准备金的总和,但鉴于市场无法有效配置准备金,它们仍然是稀缺的。其次,我们提供的证据表明,一些大型国内交易商可能经历了中介成本的增加,这导致他们向最终现金借款人收取更高的利差。这一增长是由于货币市场共同基金的贷款暂时减少,包括通过固定收益清算公司(FICC)赞助的回购计划发放的贷款。
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The Market Events of Mid-September 2019
This paper studies the mid-September 2019 stress in U.S. money markets: On September 16 and 17, unsecured and secured funding rates spiked up and, on September 17, the effective federal funds rate broke the ceiling of the Federal Open Market Committee (FOMC) target range. We highlight two factors that may have contributed to these events. First, reserves may have become scarce for at least some depository institutions, in the sense that these institutions’ reserve holdings may have been close to, or lower than, their desired level. Moreover, frictions in the interbank market may have prevented the efficient allocation of reserves across institutions, so that although aggregate reserves may have been higher than the sum of reserves demanded by each institution, they were still scarce given the market’s inability to allocate reserves efficiently. Second, we provide evidence that some large domestic dealers likely experienced an increase in intermediation costs, which led them to charge higher spreads to ultimate cash borrowers. This increase was due to a temporary reduction in lending from money market mutual funds, including through the Fixed Income Clearing Corporation’s (FICC’s) sponsored repo program.
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