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信息技术2024-05-31Tobias J. Moskowitz、Chase P. Ross、Sharon Y. Ross、Kaushik VasudevanFederal Reserve Board七***

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Quantities and Covered-Interest Parity

Introduction

Spreads on bank-intermediated arbitrage trades, known as bases, have persisted since the 2008 financial crisis, attracting significant academic and practical interest. These spreads are often seen as evidence that financial intermediaries play a more complex role than assumed in classical theories. The persistence of bases suggests that intermediaries face frictions that affect asset prices and the broader economy.

Covered-Interest Parity (CIP)

Covered-Interest Parity (CIP) is a simple arbitrage trade conducted by banks. It involves borrowing dollars, exchanging them for foreign currency through a foreign exchange swap, and investing the proceeds in foreign safe assets. At maturity, the intermediary returns dollars to the customer and repays the initial loan. CIP implies that the return on this transaction should be zero. Deviations from CIP reflect frictions in the global provision of dollar funding, primarily via currency swaps and forwards.

Key Findings

Three novel forces drive bases:

Foreign Risky Asset Scarcity: Banks purchase foreign risky assets instead of safe assets, reflecting their synthetic dollar lending to customers. Since CIP requires a position in safe assets, banks only imperfectly execute CIP and take on significant risk.
Market Segmentation: Markets are segmented, with banks specializing in different currencies and tenors. Bases reflect bank-specific constraints due to reduced risk sharing and market power.
Concentrated Demand: Intermediaries face concentrated demand from certain counterparties, requiring compensation for counterparty risk.

These forces generate both time-series and cross-sectional variations in CIP deviations.

Empirical Evidence

The study uses confidential supervisory data covering $25 trillion in daily notional exposures. The data provide detailed information on bank positions in specific country interest rates and currencies, allowing for a granular examination.

Model and Analysis

A stylized model was built to explain the frictions driving bases. The model includes:

Balance Sheet Costs: Drive a common component of bases across all currencies.
Foreign Safe Asset Scarcity: Lead intermediaries to hold risky bonds.
Heterogeneous Expertise: Cause intermediaries to specialize in certain markets.
Counterparty Limits: Contribute to the inelasticity of bases.

The Federal Reserve's FR2052a report provided granular, high-frequency data on the balance sheets of the largest U.S. banks, covering $25 trillion in daily notional exposure. This data allowed for a detailed view of intermediaries' positioning in currency markets.

Conclusion

The study highlights the importance of segmentation and search frictions in even the largest and most liquid markets. These frictions contribute to the persistence of bases, providing empirical evidence for the role of intermediaries in the global provision of dollar funding.

FinanceandEconomicsDiscussionSeries FederalReserveBoard,Washington,D.C.ISSN1936-2854(Print) ISSN2767-3898(Online) QuantitiesandCovered-InterestParity TobiasJ.Moskowitz,ChaseP.Ross,SharonY.Ross,KaushikVasudevan2024-061 Pleasecitethispaperas: Moskowitz,TobiasJ.,ChaseP.Ross,SharonY.Ross,andKaushikVasudevan(2024).“QuantitiesandCovered-InterestParity,”FinanceandEconomicsDiscussionSeries2024-061.Washington:BoardofGovernorsoftheFederalReserveSystem,https://doi.org/10.17016/FEDS.2024.061. NOTE:StaffworkingpapersintheFinanceandEconomicsDiscussionSeries(FEDS)arepreliminarymaterialscirculatedtostimulatediscussionandcriticalcomment.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencebyothermembersoftheresearchstaffortheBoardofGovernors.ReferencesinpublicationstotheFinanceandEconomicsDiscussionSeries(otherthanacknowledgement)shouldbeclearedwiththeauthor(s)toprotectthetentativecharacterofthesepapers. QuantitiesandCovered-InterestParity TobiasJ.Moskowitz,ChaseP.Ross,SharonY.Ross,KaushikVasudevan∗July11,2024 Abstract Studiesofintermediatedarbitragearguethatbankbalancesheetsareanimportantconsideration,yetlittleevidenceexistsonbanks’positioninginthiscontext.Usingconfidentialsupervisorydata(covering$25trillionindailynotionalexposures)weexaminebanks’positionsinconnectionwithcovered-interestparity(CIP)deviations.Exploitingcross-sectionalvariationinCIPdeviationsthathavelargelychallengedexistingtheories,wedocumentthreenovelforcesthatdrivebases:1)foreignsafeassetscarcity,2)marketpowerandsegmentationofbanksspecializingindifferentmarkets,and3)concentrationofdemand.Ourfindingsshedempiricallightontheinterplayoffrictionsinfluencingbanks’provisionofdollarfunding. JELCodes:F3,F31,F65,G1,G13,G15,G2,G23 Keywords:basis,covered-interestparitydeviation,foreignexchange,safeassets ∗T.MoskowitzisattheYaleSchoolofManagement,YaleUniversity,NBER,andAQRCapitalManagement,email:tobias.moskowitz@yale.edu.C.RossisattheBoardofGovernorsoftheFederalReserveSystem,email:chase.p.ross@frb.gov.S.RossisattheBoardofGovernorsoftheFederalReserveSystem,email:sharon.y.ross@frb.gov.K.VasudevanisattheDanielsSchoolofBusiness,PurdueUniversity,email:kvasude@purdue.edu.WethankTristanD’Orsaneoforexcellentresearchassistance.Forcommentsandsuggestions,wethankourdiscussantsRashadAhmed,WillDiamond,BenGolez,PiotrOrłowski,StephenSzaura,andMengboZhang,aswellasRicardoCorrea,WenxinDu,NathanFoley-Fisher,PeterHansen,ToomasLaarits,JinsookLee,BorghanNarajabad,StasNikolova,JunkoOguri,DavidRappoport,BryanRicketts,MattSeay,AlexVardoulakis,XiaochuanXing,ChenziXu,EmreYoldas,seminarparticipantsattheUniversityofNebraskaandFedBoard,andconferenceparticipantsattheWabashRiverConference,2024ASSA,2024MFA,theSpring2024NBERFinancialMarketFrictionsandSystemicRisksmeeting,the2024EasternFinanceAssociationmeeting,andthe2024UCLAFinkCenterConference.AQRCapitalisaglobalassetmanagerwhomayormaynotusetheinsightsandmethodsinthispaper.TheanalysisandconclusionssetfortharethoseoftheauthorsanddonotindicateconcurrencybymembersoftheBoardofGovernorsoftheFederalReserveSystem,AQR,ortheirstaffs. 1Introduction Spreadsonbank-intermediatedarbitragetrades,calledbases,havepersistedsincethe2008financialcrisis,attractingsubstantialattentionfromacademicsandpractitioners.Theexistenceofbasesisoftencitedasevidencethatfinancialintermediariesarenotsimplyaveil,asassumedinclassicaltheories.Thelitanyoffrictionsfacedbyintermediaries,therefore,mayhaveimportonassetpricesand,byextension,thebroadereconomy.Priorworkfocusesprimarilyonassetpricingdata.Inthispaper,weusenovelquantitydata,togainabetterunderstandingofintermediaries’basistradingactivityandofhowintermediaryconstraintsaffectassetprices. Wefocusoncovered-interestparity(CIP)asasimpleandcleararbitragetradeinter-mediatedbybanks.1CIPdeviationshavebeenusedasaprimaryempiricallaboratorytodescribetheimportanceofintermediationfrictions.ACIParbitragetradeconsistsofthefollowing:tomeetforeigncustomerdemandtoborrowdollars,anintermediaryborrowsdollars,entersintoaforeignexchangeswapwiththecustomertoexchangethedollarsforforeigncurrency,andinveststheproceedsinforeignsafeassets.Atmaturity,theintermediaryreceivesdollarsfromthecustomerandrepaystheinitialdollarloan.CIPimpliesthatthereturnonthistransactionshouldbezero.DeviationsfromCIPareimportantbecausetheyreflectfrictionsintheglobalprovisionofdollarfunding,whichoccurslargelyviacurrencyswapsandforwards.MoststudiestestandrejectthatCIPbasesarezeroandrelatenon-zerobasestomeasuresofintermediaryfrictions(Duetal.(2018),Iidaetal.(2018),Cenedeseetal.(2021),Wallen(2022),DuandSchreger(2022),Augustinetal.(2022)). Tobetterunderstandtheroleofintermediariesinassetpricesand,specifically,theglobalprovisionofdollarfunding,weusegranularconfidentialsupervisorydata.Wealsoexploitcross-sectionalvariationinCIPbases,whoseexistenceisapuzzleforexistingintermediarytheoriesforthebasis.Ouruniquequantitydataprovidebankpositionsinthesemarkets,whichwhenmergedwithprices,shedsubstantiallightonwhatdrivesbases,includingexplainingtheirpuzzlingcross-sectionalhetero

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