主题：Disintermediating the Federal Funds Market

主讲：张蒙博 助理教授

时间：2024年6月18日 13:30-15:00

地点：半岛·体育bob官方网站714会议室

内容简介：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.

个人简介：张蒙博是上海财经大学金融学院助理教授。他于2021年获得加州大学洛杉矶分校经济学博士学位，并于同年加入上海财经大学金融学院。他的研究主要集中于宏观金融、货币政策、商业银行等方面。他的研究已发表于Journal of Money, Credit and Banking等期刊上。