We show that the likelihood of a liquidity crunch in wholesale US dollar funding markets
depends on levels of reserve balances at the financial institutions that are the most active …

We characterize how US global systemically important banks (GSIBs) supply short-term
dollar liquidity in repo and foreign exchange swap markets in the post-Global Financial …

We document the rise and fall of an arbitrage trade among hedge funds known as the
Treasury cash-futures basis trade. This trade exploited a fundamental disconnect between …

This fintech note presents an analysis of the implications of central bank digital currency
(CBDC) for monetary policy. In our framework, the implications of CBDC issuance on …

Repo markets are an important first stage of monetary policy transmission. In the European
repo market, the majority of participants, including non-dealer banks and non-banks, do not …

Does the federal funds rate respond to shocks when aggregate reserves are in the trillions of
dollars? Has banks' demand for reserves moved over time? We provide a structural time …

Twice in a brief 12-year period between 2008 and 2020, central banks turned to asset
purchase programs to combat a global economic downturn. While balance sheet …

To understand deviations from covered interest parity (CIP), it is crucial to account for
heterogeneity in funding costs across both banks and currency areas. For most market …

In September 2019, interest rates on US dollar short-term collateralized loans spiked by
around 400 bps and prompted the Federal Reserve to revise its monetary policy framework …

We show that the segmented structure of the US Treasury repo market, in which some
participants have limited access across the segments, leads to rate dispersion, even in this …