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纽约联储-银行资产负债表成本、货币政策和ON RRP(英)-2022.12

# 银行 # 资产负债表 # 货币政策 大小:1.18M | 页数:31 | 上架时间:2022-12-07 | 语言:英文

纽约联储-银行资产负债表成本、货币政策和ON RRP(英)-2022.12.pdf

纽约联储-银行资产负债表成本、货币政策和ON RRP(英)-2022.12.pdf

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类型: 宏观

上传者: GHY-s

撰写机构: 纽约联储

出版日期: 2022-11-27

摘要:

In June 2022, the Federal Reserve started reducing the size of its balance sheet, which had expanded to just under $9 trillion in response to the COVID-19 pandemic. However, whereas banks’ reserves at the Federal Reserve have decreased, the investment of money market funds (MMFs) at the Federal Reserve’s overnight reverse repo (ON RRP) facility has continued to increase, reaching $2.4 trillion in September 2022. In this paper, we causally identify the drivers of ON RRP take-up through a diff-in-diff approach. By exploiting a temporary change in the computation of banks’ Supplementary Leverage Ratio (SLR) implemented in 2020-21, we show that banks’ balance sheet costs incentivize them to push deposits toward MMFs and to reduce their overnight borrowing from MMFs, leading to an increase in MMF investment at the ON RRP. Furthermore, we show that monetary policy tightening, and Treasury bill scarcity are two additional factors contributing to the recent increase in ON RRP usage.

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