美联储-联邦基金市场的LCR溢价（英）-2023.11-30页_520kb

Report on LCR Premium in the Federal Funds Market

Alyssa Anderson and Manjola Tase

This paper analyzes the impact of the Liquidity Coverage Ratio (LCR) regulation on short-term funding markets, focusing on the Federal Reserve Board's implementation of LCR starting in 2017. The study uses confidential bank-level data to investigate pricing behaviors in the federal funds and Eurodollar markets, comparing banks subject to daily LCR reporting (daily reporters) with other banks.

Key Findings

A regulatory premium emerged in the fed funds market following the full LCR implementation. Daily LCR reporters paid higher interest rates compared to other banks when borrowing in the fed funds market post-2017, as these trades are more favorable for meeting LCR requirements. This premium arises from the smaller run-off factor of fed funds borrowing (primarily by Federal Home Loan Banks), which reduces LCR strain relatively. In contrast, no such premium was found in the Eurodollar market, where borrowing is less LCR-friendly, and daily reporters even paid lower rates there.

Methodology

The empirical approach employs difference-in-differences analysis with data from April 2014 to February 2020, covering transaction-level and balance sheet data. Controls include bank-specific factors like deposit changes, liquidity buffers, market power, and general market conditions. The analysis shows that daily reporters, due to their need to cover potential LCR shortfalls, adjusted their funding costs accordingly in fed funds but not in Eurodollars.

Conclusion

The study demonstrates that LCR regulation induced market segmentation, making the fed funds market more responsive to aggregate reserve distribution, even during periods of abundant liquidity. This premium reflects how liquidity requirements can influence funding costs and complicate monetary policy transmission, contributing to the broader literature on financial regulation and market dynamics.