Year-End Liquidity Strains Just Appeared (Economist Explains Why) | Dr. Darrell Duffie скачать в хорошем качестве

Year-End Liquidity Strains Just Appeared (Economist Explains Why) | Dr. Darrell Duffie

With the end of year approaching and SOFR/IOR spreads widening, Darrell Duffie, renowned and prolific monetary scholar, joins Monetary Matters to share his views on why liquidity strains often appear at quarter- and year-end. Duffie explains his work on the September 2019 repo blowout and shares his findings that timing of bank payments is a better predictor of SOFR/IOR stress than the SOFR/IOR spread itself. Duffie also shares his views on debt-to-GDP levels, the theory that the Treasury has engaged in “stealth QE,” and the impact of SOFR transition on bank funding costs. Recorded on December 27, 2024. Duffie Piece On Reserves Discussed For Most Of Interview (“Reserves Were Not So Ample After All”): https://www.newyorkfed.org/research/s... Duffie Piece on SOFR vs. LIBOR impact on bank debt-overhang cost (discussed at end, “Bank Funding Risk, Reference Rates, and Credit Supply”): https://www.newyorkfed.org/research/s... Darrell Duffie’s website https://www.darrellduffie.com/ Follow Monetary Matters on: Apple Podcast https://rb.gy/s5qfyh Spotify https://rb.gy/x56dx5 YouTube https://rb.gy/dpwxez Follow Jack Farley on Twitter https://x.com/JackFarley96 Timestamps 00:00 Intro 00:21 Apparent Funding Stress At End Of Year (December 27th/30th/31st 2024) In Interest Rate Spread of SOFR/IOR (Secured Overnight Financing Rate / Interest On Reserves) 18:58 "There Is Going To Be A Problem In 2025 With Ampleness of Reserves, Most Likely" 21:37 "The Ratchet Effect": How Banks Get "Addicted" To Reserves 23:46 "Lowest Comfortable Level of Reserves" (LCLoR) 32:06 Fed Likely To Stop Quantitative Tightening (QT) In 2025 35:45 Treasury Bill Issuance Impact On Reserves and SOFR Funding Capacity 45:25 Is T-Bill Issuance More Stimulative Than Issuing Treasury Bonds? 55:32 Debt Sustainability and Rising Debt-To-GDP Levels 1:05:35 Impact of SOFR transition on bank funding costs #federalreserve #banks #treasurybills #treasurybonds #treasurymanagement #LIBOR #eurodollar