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Keywords:repo rates 

Reserves Were Not So Ample After All

The Federal Reserve's “balance-sheet normalization,” which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-September 2019. We show that repo rates rose above efficient-market levels when the total reserve balances held at the Federal Reserve by the largest repo-active bank holding companies declined and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large ...
Staff Reports , Paper 974

Money Markets and the Federal Funds Rate: The Path Forward

Remarks at the MFA Outlook 2019, New York City.
Speech , Paper 332

The role of the New York Fed as administrator and producer of reference rates: remarks at the Annual Primary Dealer Meeting, Federal Reserve Bank of New York, New York City

Remarks at the Annual Primary Dealer Meeting, Federal Reserve Bank of New York, New York City.
Speech , Paper 270

Discussion Paper
What Quantity of Reserves Is Sufficient?

A concern of the Federal Reserve is how to manage its balance sheet and whether, over the long run, the balance sheet should be small or large. In this post, we highlight results from a recent paper in which we show how, even during a period of “ample” reserves, the Fed’s management of its balance sheet had material impacts on funding markets and especially the repo market. We argue that the Fed’s “balance-sheet normalization” from March 2017 to September 2019—under which aggregate reserves declined by more than $950 billion—combined with post-crisis liquidity regulations, ...
Liberty Street Economics , Paper 20210929