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Abstract

The PhD thesis “Money Markets and Monetary Policy” consists of three related chapters. The analysis relies on new databases created for this thesis. The data cover end-of-month repos and commercial paper transactions between money market mutual funds and their counterparties from November 30, 2010 until December 31, 2015. The first chapter “The Tri-Party Repo Market and the Effects of Monetary Policy” provides a model of the tri-party repo market and an empirical analysis of the repo contracts. Several findings shed light on the relative stability of the market. The Fed’s monetary policy, including changes to the Fed’s balance sheet, affects the repo rate and the principal. The second chapter “Implications of the Different Institutional Arrangements in the Commercial Paper and Tri-Party Repo Markets” finds that borrowers with greater interactions with the same lenders across markets face higher average yields and higher average loan amounts than other borrowers. The higher yields seem related to their overall leverage. The third chapter “The Effects of Unconventional Monetary Policy on Foreign Firms Participating in the USA Tri-Party Repo Market” assesses how the Fed’s unconventional monetary policies affect the foreign borrowers that participate in this market. The analysis shows that the Fed’s monetary policy affects them differently than it affects domestic borrowers.

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