回购市场波动与美国债务上限（英）

Repo Market Volatility andthe U.S. Debt Ceiling Mai Chi Dao, Brandon Tan, Jing Zhou WP/25/127 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025JUN IMF Working Paper Western Hemisphere Department Repo Market Volatility and the U.S. Debt CeilingPrepared by Mai Chi Dao, Brandon Tan, Jing Zhou Authorized for distribution by Nigel ChalkJune 2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:Recurring debt ceiling standoffs cause political disruptions and economic costs. We quantifyone type of cost which is receiving growing attention: the spillover to short-term funding markets.Using high-frequency aggregate as well as granular money market fund specific data, we find thatflows in and out of the Treasury General Account triggered by the debt ceiling mechanism cancreate large swings in the repo spread and distort the supply of repo funding for the Treasurymarket. Applying our estimates to the expected debt ceiling lift-off in summer 2025 implies thatthe repo spread could fluctuate by 20-30 basis points around the lift-off date. A higher level ofaggregate bank reserves and overnight reverse repo balance at the Fed can dampen the impacton funding spreads appreciably. Repo Market Volatility and the U.S.Debt Ceiling Prepared by Mai Chi Dao, Brandon Tan, Jing Zhou1 1Introduction A peculiar feature of the US fiscal institution is that borrowing by the federal government periodicallyapproaches a self-imposed debt ceiling before political negotiations temporarily suspend or lift itagain. At the time of writing, the federal debt ceiling again looms large, with Congress working ona budget bill that will allow the debt ceiling to be lifted by the impending X-date (that is, whenTreasury will run out of cash to meet its daily obligations) around August 2025. These periodicdebt ceiling standoffs create political and economic uncertainties, with risks to delay in governmentspending if the debt limit is not raised on time. They also cause indirect cost of increasing perceivedsovereign risk, threatening the Treasury’s safe haven status and raising borrowing costs down theroad. In this paper, we highlight yet another unintended consequence of the debt ceiling stand-off, namelythe increased costs to short-term dollar funding arising from amplified volatilities in reserve flowsbetween the Treasury General Account (TGA) and the financial system. When the TGA balance isrun down as the debt ceiling is triggered, reserves are injected into the financial system. Conversely,when the debt ceiling is lifted or suspended, pent-up borrowing sharply increases the TGA balanceand thereby withdraws liquidity from the system rapidly. These large swings stemming from liquidityinjection and withdrawal into the the short-term funding market can create excess volatility for thecost of funding and result in dislocations in the repo and other money markets. The fallouts can besevere for the functioning of the Treasury market and can spill over to funding conditions and assetprices beyond the repo and Treasury market, as exemplified by the repo crisis of September 2019,when large inflows into the TGA occurred amid rapidly declining levels of reserves. Our paper is the first to provide an estimate for this link. We quantify the fluctuations comingfrom the TGA balance around debt-ceiling episodes and estimate the resulting impact on fundingconditions in the repo and interbank markets. We trace the impact of TGA balance volatility onthe short-term funding rates through demand and supply channels in the repo funding market andshow how the resulting impact varies with the level of overall reserves in the system and the balancein the overnight reverso repo facility, both acting as mitigating factors that dampen movements inrepo spreads. Assuming the projected path for bank reserves, the predicted in and outflows fromthe TGA and the expected future level of the overnight reverse repo facility, we estimate that theexpected lift-off of the ceiling in summer 2025 could increase the repo spread by around 20-30 basispoints within a month after the X-date. Compared with a monthly standard deviation in the repospread of less than 10 bps during the post-COVID period, the potential impact is economicallylarge. As the Fed is currently implementing Quantitative Tightening and gradually withdrawing reservesfrom the system, any given surge in TGA balance can have a larger impact on repo spreads compared to when reserves are more ample. In addition, with the fiscal deficit se