IDEAS home Printed from https://ideas.repec.org/a/ijc/ijcjou/y2022q4a1.html
   My bibliography  Save this article

How Has Monetary and Regulatory Policy Affected Trading Relationships in the U.S. Repo Market?

Author

Listed:
  • Sriya Anbil

    (Federal Reserve Board)

  • Zeynep Senyuz

    (Federal Reserve Board)

Abstract

We analyze the effects of changes in monetary and regulatory policy on trading dynamics in the U.S. triparty repo market. Using a confidential data set of transactions, we find that the Fed's reverse repo (RRP) facility led to a 16 percent reduction in cash lending by money market mutual funds (MMFs) eligible to transact with the Fed. We show that the RRP facility increased the bargaining power of MMFs on days when their borrowers, non-U.S. dealers, increased their window-dressing activity due to Basel III capital reforms. For those dealers reliant on eligible MMF funding, window dressing became more expensive, but the average rates they paid on other days remained stable because of anchoring by the facility. We also show that the RRP facility influenced the way MMFs managed their balance sheets, and directed them towards safer investments.

Suggested Citation

  • Sriya Anbil & Zeynep Senyuz, 2022. "How Has Monetary and Regulatory Policy Affected Trading Relationships in the U.S. Repo Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 18(4), pages 1-52, October.
    • Handle: RePEc:ijc:ijcjou:y:2022:q:4:a:1
    as

    Download full text from publisher

    File URL: http://www.ijcb.org/journal/ijcb22q4a1.pdf
    Download Restriction: no
    File URL: http://www.ijcb.org/journal/ijcb22q4a1.htm
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ijc:ijcjou:y:2022:q:4:a:1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Bank for International Settlements (email available below). General contact details of provider: https://www.ijcb.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.