美联储数量和覆盖利息平价

Federal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online) Quantities and Covered-Interest Parity Tobias J. Moskowitz, Chase P. Ross, Sharon Y. Ross, Kaushik Vasudevan 2024-061 Please cite this paper as:Moskowitz,Tobias J.,Chase P.Ross,Sharon Y.Ross,and Kaushik Vasudevan(2024).“Quantities and Covered-Interest Parity,”Finance and Economics DiscussionSeries2024-061.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2024.061. NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment.The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers. Quantities and Covered-Interest Parity Tobias J. Moskowitz, Chase P. Ross, Sharon Y. Ross, Kaushik Vasudevan∗July 11, 2024 Abstract Studies of intermediated arbitrage argue that bank balance sheets are an importantconsideration, yet little evidence exists on banks’ positioning in this context. Usingconfidential supervisory data (covering $25 trillion in daily notional exposures) weexamine banks’ positions in connection with covered-interest parity (CIP) deviations.Exploiting cross-sectional variation in CIP deviations that have largely challengedexisting theories, we document three novel forces that drive bases: 1) foreign safe assetscarcity, 2) market power and segmentation of banks specializing in different markets,and 3) concentration of demand. Our findings shed empirical light on the interplay offrictions influencing banks’ provision of dollar funding. JEL Codes:F3, F31, F65, G1, G13, G15, G2, G23 Keywords:basis, covered-interest parity deviation, foreign exchange, safe assets 1Introduction Spreads on bank-intermediated arbitrage trades, called bases, have persisted since the 2008financial crisis, attracting substantial attention from academics and practitioners.Theexistence of bases is often cited as evidence that financial intermediaries are not simply a veil,as assumed in classical theories. The litany of frictions faced by intermediaries, therefore,may have import on asset prices and, by extension, the broader economy. Prior work focusesprimarily on asset pricing data. In this paper, we use novel quantity data, to gain a betterunderstanding of intermediaries’ basis trading activity and of how intermediary constraintsaffect asset prices. We focus on covered-interest parity (CIP) as a simple and clear arbitrage trade inter-mediated by banks.1 CIP deviations have been used as a primary empirical laboratory todescribe the importance of intermediation frictions. A CIP arbitrage trade consists of thefollowing: to meet foreign customer demand to borrow dollars, an intermediary borrowsdollars, enters into a foreign exchange swap with the customer to exchange the dollars forforeign currency, and invests the proceeds in foreign safe assets. At maturity, the intermediaryreceives dollars from the customer and repays the initial dollar loan. CIP implies that thereturn on this transaction should be zero. Deviations from CIP are important because theyreflect frictions in the global provision of dollar funding, which occurs largely via currencyswaps and forwards. Most studies test and reject that CIP bases are zero and relate non-zerobases to measures of intermediary frictions (Du et al. (2018), Iida et al. (2018), Cenedeseet al. (2021), Wallen (2022), Du and Schreger (2022), Augustin et al. (2022)). To better understand the role of intermediaries in asset prices and, specifically, the globalprovision of dollar funding, we use granular confidential supervisory data. We also exploitcross-sectional variation in CIP bases, whose existence is a puzzle for existing intermediarytheories for the basis. Our unique quantity data provide bank positions in these markets,which when merged with prices, shed substantial light on what drives bases, includingexplaining their puzzling cross-sectional heterogeneity. We find that three novel forces are important for driving bases. First, intermediariespurchase foreign risky assets, rather than safe assets, corresponding with their syntheticdollar lending to customers. Since CIP arbitrage requires a position in safe assets, banksonly imperfectly execute CIP arbitrage and take on meaningful risk. Second, markets aresegmented, with banks specializing in different currencies and tenors, so bases reflect bank-specific constraints. Segmentation also reduces the elasticity of bases to demand via reducedrisk sharing and market power. Third, intermediaries face concentrated demand in somemarkets from certain counterparties and require compensation associated with counterpartyrisk.We break d