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Title page

Contents

Abstract 2

1. Introduction 3

2. Transition to the New World 4

3. Baseline Model with Passive Balance Sheet Management 8

4. Comparative Statics in the Baseline Model 15

5. Selected Policy Issues 39

6. Variations on the Baseline Model 47

7. Active Balance Sheet Management in a Modified Baseline Model 78

8. Conclusion 87

Appendix: Mathematical Details 88

Bibliography 103

Figures

Figure 1. Financial Market Structure in the Baseline Model 9

Figure 2. Equilibrium in the Baseline Model 13

Figure 3. Response to Increase in Interest Rate on Reserves 19

Figure 4. Portfolio Effects of Increase in Interest Rate on Reserves 20

Figure 5. Response to Increase in Interest Rate on Other Liabilities 21

Figure 6. Portfolio Effects of Increase in Rate on Other Fed Liabilities 22

Figure 7. Response to Parallel Increase in Rates on Reserves and Other Federal Reserve Liabilities 23

Figure 8. Portfolio Effects of Parallel Change in Interest on Reserves and Other Fed Liabilities 24

Figure 9. Response to Increase in Interest Rate on Physical Currency 25

Figure 10. Effect of Change in Rate on Physical Currency 26

Figure 11. Response to Increase in Treasury Supply 27

Figure 12. Effect of Change in Aggregate Supply of Treasury Debt 28

Figure 13. Shift in Household Preferences from Currency to Treasury Securities 29

Figure 14. Effect of Increase in Household Shift from Currency to Treasury Securities 30

Figure 15. Response to Shift in Household Habits Away from Deposits Toward Currency 31

Figure 16. Effect of Household Shift from Deposits to Currency 32

Figure 17. Response to Increase in Balance Sheet Costs 33

Figure 18. Effect of Increase in Financial Intermediary Balance Sheet Costs 34

Figure 19. Response to Increased Cost of Deviating from Habit for Households 35

Figure 20. Effect of Increase in Household Substitution Costs 36

Figure 21. Response to Increased Cost of Deviating from Habit for Intermediaries 37

Figure 22. Effect of Increase in Financial Intermediary Substitution Costs 38

Figure 23. Mean Preserving Spread Between Administered Rates 42

Figure 24. Effect of Mean Preserving Spread of IOR and Other Federal Reserve Liabilities Rate 43

Figure 25. Alternative Rate Targets 44

Figures 26 and 27. Effect of Increase in Bank LCR and Effect of Increase in Bank Leverage Ratio 45

Figure 28. Pass Through Coefficient in Baseline Model 46

Figure 29. Pass Through Coefficients with Greater Household Substitution 46

Figure 30. Effects of Introducing New Financial Assets 49

Figure 31. Financial Market Structure in Model with CBDC 54

Figure 32. Response to Increase in Interest Rate on R_CBDC 55

Figure 33. Effect of Increase in Retail CBDC Rate 56

Figure 34. Response to Shift in Household Habits Away from Deposits Toward R_CBDC 57

Figure 35. Effect of Shift from Deposits to Retail CBDC 58

Figure 36. Effects of Alternative Assumptions about Shifts in Habits 59

Figure 37. Response to Increase in W_CBDC Rate 60

Figure 38. Effect of Increase in Wholesale CBDC Rate 61

Figure 39. Comparison of Effects of Administered Rates 62

Figure 40. Financial Market Structure in Model with Narrow Nonbanks 64

Figure 41. Nonbank Stablecoin Issuers 65

Figure 42. Effects of Shift from Deposits to Stablecoin 66

Figure 43. Financial Market Structure in Model with Narrow Banks 70

Figure 44. Effect of Narrow Banks in the Deposit Market 71

Figure 45. Effect of Shift in Traditional Bank Demand for Deposits with Narrow Banks 72

Figure 46. Effect of Narrow Banks on Endogenous Rates 73

Figure 47. Comparison of Baseline Model and Model with Narrow Banks 74

Figure 48. Effect of Narrow Banks on Pass Through of Federal Reserve Administered Rates 75

Figure 49. Effect of Narrow Banks on Pass Through of Federal Reserve Administered Rates 76

Figure 50. Response to Increase in Federal Reserve Balance Sheet 79

Figure 51. CBDC Demand and Reduced Treasury Demand 83

Figure 52. Effects of Asset Purchases on Equilibrium Rates 84

Figure 53. Effects of Asset Purchases on Rates and Sector Balance Sheets 85

Figure 54. Effects of Alternative Assumptions about Reserve Assets for Stablecoin Issuers 86

Charts

Chart 1. Federal Reserve Securities Holdings and Selected Liabilities 5

Appendix Tables

Table A1. Baseline Model Calibration 94

Table A2. Baseline Model With Narrow Banks Calibration 95

Table A3. Calibration for Extended Model with CBDC 96

Table A4. Calibration for Baseline Model with Stable Coin Issuers 97

Table A5. Modified Baseline Model Calibration with Active Balance Sheet Management 98

Table A6. Reduced Form Solutions for Equilibrium Rates in the Baseline Model 99

Table A7. Reduced Form Solutions for Equilibrium Rates in the Extended Baseline Model with CBDC 100

Table A8. Reduced Form Solutions for Equilibrium Rates in the Extended Baseline Model with Stablecoin 101

Table A9. Reduced Form Solutions for Equilibrium Rates in the Extended Baseline Model With Narrow Banks 102

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