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.
Reserves Were Not So Ample After All
with Adam Copeland (FRBNY) and Yilin (David) Yang (Stanford)
March 2nd, 11 am (EDT)
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.
To receive the Zoom link and the paper for upcoming seminars, please subscribe to our mailing list.
- Björn Hagströmer – Stockholm University (website or email)
- Katya Malinova – McMaster University (website or email)
- Andreas Park – University of Toronto (website, twitter, or email)
- Cameron Pfiffer – University of Oregon (website, twitter, or email)
- Andriy Shkilko – Wilfrid Laurier University (website, twitter, or email)
Email firstname.lastname@example.org with comments, questions, and feedback.
- Joel Hasbrouck (recording, paper, and slides)
- Evangelos Benos (recording, paper, slides)
- Pete Kyle (recording, paper, and slides)
- Hans Degryse (recording, paper, and slides)
- Haoxiang Zhu (recording, paper, and slides)
- Edwin Hu (recording, paper, and slides)
- Yan Xiong (recording, paper, and slides)
- Terry Hendershott (recording, paper, and (slides)
- Mina Lee (recording)
- Chaojun Wang (recording and paper)
- Thomas Marta (recording and paper).
- Thomas Ernst (recording and paper).
- Alexey Ivashchenko (recording, paper, and slides)
- Anthony Lee Zhang (recording and paper)
- Marius Zoican (recording, paper, slides, and video abstract)
- Mao Ye (recording, slides, paper, and video abstract)
- Eric Budish (recording, paper, and video abstract)
- Chester Spatt (recording, paper, slides, video abstract)
- Gideon Saar (recording, slides, and video abstract)
- Dmitriy Muravyev (recording, paper, and video abstract)
- Albert Menkveld (recording, paper, slides, and video abstract)
- Sophie Moinas (recording, paper, and slides).
- Maureen O’Hara (video abstract and paper). We apologize – the recording is not available due to a technical issue.
- Angelo Ranaldo (recording, slides, video abstract, and paper)
- Sunil Wahal (recording, slides, video abstract, and paper)
- Thierry Foucault (recording, slides, video abstract, and paper)
The Microstructure Exchange will host resources, tools, and data for microstructure researchers. Please contact email@example.com to add your resource to this section.
- Spread statistics from Sunil Wahal. The dataset contains nanosecond precision spreads (using four methodologies) of all common stocks and ETFs with valid data. See Conrad and Wahal (2020) for more information.
- Quote-to-trade ratios from the paper Quoting activity and the cost of capital by Ioanid Rosu, Elvira Sojli, and Wing Wah Tham. Wharton Research Data Services (WRDS) data was used in preparing this output.
- The Microstructure Online Seminars Asia Pacific series hosts previous Microstructure Exchange speakers at times that better match the Australia, Hong Kong, and Singapore time zone.
- The Summer School on Market Microstructure, presented by Thierry Foucault and Albert Menkveld, will be hosted on June 7-11, 2021 at Stockholm Business School. It is a one-week intensive course, suitable for PhD students and advanced practitioners.