The Microstructure Exchange is a virtual academic market microstructure research seminar of indefinite length, intended to continue the sharing of ideas between researchers.

Speakers will be invited to present their work over Zoom. Seminars will last 45 minutes with questions asked at designated break points during the talk and a 15 minute Q&A session at the end of the session that will be organized by a moderator.

Upcoming talk

Darrell Duffie (Stanford)
Reserves Were Not So Ample After All
with Adam Copeland (FRBNY) and Yilin (David) Yang (Stanford)
March 2nd, 11 am (EDT)
Paper link

Abstract: We document that the Federal Reserve’s “balance-sheet normalization,” which reduced aggregate reserves between 2017 and September 2019 is associated with increased repo rates as well as 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 balances held at the Federal Reserve by the largest repo-active bank holding companies were reduced, and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these bank holding companies. Further, intraday payment timing stresses are magnified by issuances of Treasury securities because of the need for the dealer entities of these bank holding companies to pay for newly issued Treasuries early in the day, and also because newly issued Treasury notes decrease the amount of reserves available to make payments. Our analysis implies that substantially higher aggregate levels of reserves than existed in the period leading up to September 2019 would likely have eliminated most or all of these payment timing stresses and repo rate spikes.


Seminars will take place on Tuesdays. Times may vary to accomodate a broader global audience and to meet the speaker’s schedule.

The calendar is available as a Google calendar or in iCal format.


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Past talks


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