2024-08-12-美联储-数量和覆盖利息平价（英）_93页_1mb

Summary of Research Problem

Covered-Interest Parity (CIP) deviations have persisted since the 2008 financial crisis, attracting attention from academics and practitioners. These deviations are seen as evidence of financial intermediation frictions, as classical theories assume intermediaries are a "veil." Existing theories primarily focus on asset pricing data, but this paper uses granular confidential supervisory data covering $25 trillion in daily notional exposures to understand intermediaries' roles in asset prices, specifically the global dollar funding market.

Key Findings

1. Three Novel Forces Driving CIP Bases:

   • Foreign Safe Asset Scarcity: Intermediaries hold very little maturity-matched foreign safe assets (e.g., $0.05-$0.48 per $1 lent), leading to imperfect CIP arbitrage and risk-taking.
   • Market Segmentation: Banks specialize in specific currency and tenor markets, limiting risk-sharing and increasing basis elasticity differentially across currencies.
   • Concentrated Demand: Markets with less diverse counterparty types exhibit larger basis dislocations due to counterparty risk.

2. Dynamic Basis Variation:

   • The magnitude of CIP deviations varies across currencies and tenors, driven by factors beyond aggregate intermediary balance sheet constraints.
   • Supply Segmentation: Basis is more inelastic in markets relying on a concentrated set of banks.
   • Demand Concentration: Basis increases when demand is concentrated, reflecting higher counterparty risk.

Methodology

• Data:

  • FR2052a Complex Institution Liquidity Monitoring Report: Confidential supervisory data on banks' balance sheets and FX swap exposures, covering $$25$ trillion daily notional.
  • Bloomberg Data: Daily CIP violations for seven currencies (AUD, CAD, CHF, EUR, GBP, JPY) from OIS rates.

• Empirical Approach:

  • Regression analysis linking basic deviations to bank positions:
    • $\text{Basis}k = \alpha + \beta \cdot \text{Net}{k,t} + \gamma \cdot \text{controls} + \varepsilon_k$
  • Decomposition using safe asset ratios and Herfindahl-Hirschman Index (HHI) for demand concentration.

• Model:

  • Stylized model of intermediaries with heterogeneity in expertise (risk-bearing capacity) and fixed costs for participating in markets, demonstrating cross-sectional variation in bases.

Conclusions

• CIP deviations are driven by intermediation frictions: foreign safe asset scarcity, supply and demand segmentation, and concentrated demand.
• Segmentation and markup effects are amplified during events like the March 2023 SVB turmoil, demonstrating transmission of bank-specific shocks into market prices.
• Findings highlight the importance of specialized supply and demand forces in dollar funding markets, combining theoretical modeling with high-frequency data.

References in Paper

Notable references include:

• Du et al. (2018), Iida et al. (2018), and Augustin et al. (2022) on CIP deviations.
• Correa et al. (2020), Cooperman et al. (2023), and Infante and Saravay (2020) using FR2052a data.