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|Title||Scarcity channel of Quantitative Easing : Examining the Overnight Treasury RepoMarket in the US|
|Institution||University of Zurich|
|Faculty||Faculty of Business, Economics and Informatics|
|Number of Pages||37|
|Abstract Text||Central bank purchases under QE programs have the unintended consequence of making some collateral securities more scarce in the market. Such scarcity effects can usually be found in the bilateral repo market, where special repo rates are traded, but prolonged and excessive central bank asset purchases coupled with high a demand for safe assets can also cause a decrease in general collateral repo rates, which in turn reflects the scarcity of the whole class of government bonds. In this dissertation, I study scarcity effects of US Treasuries by investigating the Treasury GCF repo rate. Each $1 trillion purchase of Treasuries by the Fed is associated with a 40-46 basis point decline in the Treasury general collateral repo rate. This suggests moderate general Treasury collateral scarcity effects of quantitative easing in the US.|