国际清算银行-货币政策传导的流动性状态依赖性（英）

BIS Working Papers No 1289 The liquidity state dependence of monetary policy transmission by Oliver Ashtari-Tafti, Rodrigo Guimaraes, Gabor Pinter and Jean-Charles Wijnandts Monetary and Economic Department September 2025 JEL classification: E43, E44, E52, G12 Keywords: monetary policy, long-term real rates, limits to arbitrage, segmented markets BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) The Liquidity State Dependence ofMonetary Policy TransmissionOliver Ashtari-TaftiLSERodrigo GuimaraesBoEGabor PinterBISJean-Charles WijnandtsBoEAbstractWe show that monetary policy shocks move long-term government bond yields onlywhen market liquidity is high and arbitrageurs are well capitalized. This liquidity statedependence operates entirely through real term premia, not expectations. Using noveltransaction-level data on the US Treasury market, we find that arbitrageurs trade about40% more duration during FOMC meetings in high-liquidity periods. We proposeways of enriching standard term-structure models to rationalize our evidence thatconstraints on arbitrage capital suppress transmission. The results introduce newempirical moments for theories of limits to arbitrage, and underscore the role ofliquidity conditions in shaping the effectiveness of conventional monetary policy.Keywords: monetary policy, long-term real rates, limited arbitrage, segmented marketsJEL Classification: E43, E44, E52, G121We thank Michael Bauer, Mathias Drehmann, Darrell Duffie, Marco Grotteria (discussant), Zhiguo He,Mike Joyce, Rohan Kekre, Peter Kondor, Alex Kontoghiorghes (discussant), Arvind Krishnamurthy, MoritzLenel, Jiacui Li (discussant), Emi Nakamura, Walker Ray, Andreas Schrimpf, Hyun Song Shin, SilvanaTenreyro, Quentin Vandeweyer, Tamas Vadasz (discussant), Dimitri Vayanos, Jonathan Wallen, colleagues atthe Bank of England, Bank for International Settlements and LSE, and participants at the Bank of Englandworkshop on “New evidence on the monetary transmission mechanism”, the 16th Annual Paul WoolleyCentre Conference at the LSE and at AFA 2025 meetings for helpful comments. We also thank MiguelAcosta and Min Wei for sharing their data. The views expressed in this paper are those of the authors, andnot necessarily those of the Bank of England, the Bank for International Settlements, or their committees.Email addresses: o.ashtari-tafti@lse.ac.uk; rodrigo.guimara