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Treasury Bill Shortages and the Pricing of Short-Term Assets
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Koleksi Majalah) | 1 |
| Penerbit | USA: The American Finance Association 2024 |
|---|---|
| Edisi | Volume 79, Issue 6, December 2024, Pages 4083-4141 |
| Subjek | Monetary policy Money markets Treasury Capital regulation post-Great Financial Crisis |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | ill, chart, table, grafik, 676 hal, 20 cm |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |