主題👸🏻💅🏼：Disintermediating the Federal Funds Market
主講：張蒙博 助理教授
時間：2024年6月18日 13:30-15:00
地點💪🏿：意昂2平台714會議室
內容簡介：We document a new channel mediating the effects of monetary policy and regulation, the disintermediation channel. When the interest rate on excess reserves (IOER) increases, fewer banks are intermediating in the Fed funds market, and they intermediate less. Thus, the total Fed funds traded decreases. Similarly, disintermediation happens after the balance sheet cost rises, e.g. the introduction of Basel III regulations. The disintermediation channel is significant and supported by empirical evidence on U.S. banks. To explain this channel, we develop a continuous-time search-and-bargaining model of divisible funds and endogenous search intensity that includes the matching model (e.g. Afonso and Lagos, 2015) and the transaction cost model (e.g. Hamilton, 1996) as special cases. We solve the equilibrium in closed form, derive the dynamic distributions of trades and Fed funds rates, and the comparative statics of aggregate moments of the Fed funds market. IOER reduces the spread of marginal value of holding reserves, and hence the gain of intermediation. In general, the equilibrium is constrained inefficient, as banks trade too frequently.
個人簡介：張蒙博是上海財經大學金融意昂2助理教授👹。他於2021年獲得加州大學洛杉磯分校經濟學博士學位🏄，並於同年加入上海財經大學金融意昂2。他的研究主要集中於宏觀金融、貨幣政策、商業銀行等方面。他的研究已發表於Journal of Money, Credit and Banking等期刊上。
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