2025-02-23-美联储-重新连接回购（英）_92页_1017kb

Rewiring Repo: Market Structure, Strategic Interactions, and Policy Implications

Abstract

This paper develops a model of the tri-party repo market, analyzing how strategic interactions among dealers and market wiring create inefficiencies and instability. It estimates supply and demand elasticities using empirical decomposition methods and evaluates policy interventions, including the Standing Repo Facility (SRF).

Key Motivations

• The tri-party repo market ($4T daily transactions) is critical for monetary policy implementation and financial stability.
• Recent instability episodes (Sept 2019, March 2020) highlighted market fragility.
• Existing segmentation and network structure create inefficiencies not fully captured in traditional models.

Theoretical Model

Core Contributions

• Examines repo market as networked market with over-the-counter (OTC) decentralized segment and anonymous centrally cleared segment (General Collateral Finance - GCF).
• ModelsCournot-style competition among dealers in quantities, showing:
  • Strategic substitutability of funding actions via common lenders
  • Strategic complementarity across non-common lenders
• Analyzes how central clearing reduces demand shock impacts but amplifies supply shock propagation
• Derives market welfare implications of different wirings

Central Clearing Effects

• Equalizes marginal funding costs across dealers via common rate
• Reduces sensitivity of repo rates to dealer-specific demand shocks
• Increases sensitivity to lender supply shocks from specific counterparties

Empirical Analysis

Data and Methodology

• Uses confidential tri-party repo data (Federal Reserve Bank of NY)
• Combines institutional mechanics with micro-level counterparty relationships
• Employsinetwork decomposition to disentangle supply-demand factors
• Instrumental variables approach to estimate elasticities

Key Findings

• Estimated supply elasticity: $4B-6.5B additional funding for 1bp spread increase
• Demand elasticity: Net borrowers reduce borrowing $0.028B per 1bp spread increase
• Strategic impacts: Competition reduces funding via common lenders (30bp reduction for 1% peer increase)

September 2019 Event

• Large supply shock (-22% aggregated vol, -$160B reduction)
• Market reacted with 315bp spread spike despite inelastic demand
• Model replicates volatility patterns through strategic propagation mechanisms

Policy Counterfactuals

Standing Repo Facility (SRF)

• Evaluates SRF as strategic buffer between interdealer market and Federal Reserve
• Shows how SRF lowers overall market rates but creates trade-offs:
  • Reduced incentives to maintain lending relationships
  • Potential crowding-out of private funding
• Optimal design balances quantity caps and minimum bid rates

Conclusion

• Market structure wiring significantly impacts efficiency and stability
• Central clearing improves some dimensions of market functioning while creating new vulnerabilities
• Policy interventions like SRF must account for network effects and strategic behavior