We propose a model of post‐Great Financial Crisis (GFC) money markets and monetary policy implementation. In our framework, capital regulation may deter banks from intermediating liquidity derived from holding reserves to shadow banks. Consequently, money markets can be segmented, and the scarcity of Treasury bills available to shadow banks is the main driver of short‐term spreads. In this regime, open market operations have an inverse effect on net liquidity provision when swapping ample reserves for scarce T‐bills or repos. Our model quantitatively accounts for post‐2010 time series for repo rates, T‐bill yields, and the Fed's reverse repo facility usage.

中文翻译：

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国库券短缺与短期资产定价


我们提出了大金融危机（GFC）后货币市场和货币政策实施的模型。在我们的框架中，资本监管可能会阻止银行将持有准备金所产生的流动性中介到影子银行。因此，货币市场可以被分割，而影子银行可用的短期国库券的稀缺是短期利差的主要驱动力。在这种制度下，当用充足的准备金换取稀缺的国债或回购协议时，公开市场操作会对净流动性供应产生反向影响。我们的模型定量地解释了 2010 年后回购利率、国库券收益率和美联储逆回购工具使用情况的时间序列。