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Essays on Financial Intermediation.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Financial Intermediation./
作者:	Yang, Yilin.
面頁冊數:	1 online resource (295 pages)
附註:	Source: Dissertations Abstracts International, Volume: 84-04, Section: A.
Contained By:	Dissertations Abstracts International84-04A.
標題:	Phase transitions. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29342275click for full text (PQDT)
ISBN:	9798352600122

Essays on Financial Intermediation.
Yang, Yilin.

Essays on Financial Intermediation. - 1 online resource (295 pages)

Source: Dissertations Abstracts International, Volume: 84-04, Section: A.

Thesis (Ph.D.)--Stanford University, 2022.

Includes bibliographical references

This thesis studies several topical areas in financial intermediation research. In the first chapter, I focus on the roles of financial intermediaries in monetary policy transmission to answer the question of reserve sufficiency. I construct a model linking interbank intraday payment timing with monetary policy implementation. In the second chapter, which is joint work with Darrell Duffie and Adam Copeland, we empirically identify the ten largest repo-active dealer banks as financial intermediaries crucial to the well-functioning of the repo market. We document that repo rates rose above efficient-market levels when the total reserve balances of the ten largest dealer banks declined, and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large banks. In the third chapter, which is joint work with Anirudha Balasubramanian, we study a trading game with agents who face a high-dimensional estimation problem. Our model addresses the situation faced by key financial intermediaries whose trading strategies involve big data and computational problems.Chapter 1 investigates what quantity of reserves the Fed should supply to support effective monetary policy implementation and an efficient interbank payment system. I construct a model linking interbank intraday payment timing with monetary policy implementation. The key players in my model are large U.S. banks, which are important financial intermediaries in the modern financial system. A low supply of reserves causes banks to delay payments to each other and strategically hoard reserves, which in turn disincentivizes banks from providing liquidity to short-term funding markets, driving up the spreads between overnight risk-free market rates and the central bank deposit rate. As reserve balances get sufficiently low, even small reductions in reserves can have large impacts on these spreads, as in September 2019. My fitted model captures the funding rate spikes of September 16-18, 2019 as an out-of-sample event.Chapter 2 explores the empirical relationship between the supply of total reserves and repo rates. We document that the Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-September 2019. We show that repo rates rose above efficient-market levels when the total reserve balances held at the Federal Reserve by the largest repo-active bank holding companies declined and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large bank holding companies.Chapter 3 studies a trading game with agents who face a high-dimensional estimation problem. Our model addresses the situation faced by key financial intermediaries whose trading strategies involve big data and computational problems. In the presence of a curse of dimensionality, we show rational expectations equilibrium is ε−approximated by a strategy profile in which each agent uses only a ridge regression on her own data to forecast the fundamental's distribution and does not make inference on price in her demand curve submission. We document how such an equilibrium matches survey evidence about modern trading processes. We derive quantitative properties of price's prediction risk and equilibrium trading volume, introducing a "regularization externality" in price formation and accounting for trading volume spikes on earnings dates.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798352600122Subjects--Topical Terms:

3560387
Phase transitions.
Index Terms--Genre/Form:

542853
Electronic books.

Essays on Financial Intermediation.
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500 $a Source: Dissertations Abstracts International, Volume: 84-04, Section: A.
500 $a Advisor: Hebert, Benjamin ; Krishnamurthy, Arvind ; Duffie, Darrell.
502 $a Thesis (Ph.D.)--Stanford University, 2022.
504 $a Includes bibliographical references
520 $a This thesis studies several topical areas in financial intermediation research. In the first chapter, I focus on the roles of financial intermediaries in monetary policy transmission to answer the question of reserve sufficiency. I construct a model linking interbank intraday payment timing with monetary policy implementation. In the second chapter, which is joint work with Darrell Duffie and Adam Copeland, we empirically identify the ten largest repo-active dealer banks as financial intermediaries crucial to the well-functioning of the repo market. We document that repo rates rose above efficient-market levels when the total reserve balances of the ten largest dealer banks declined, and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large banks. In the third chapter, which is joint work with Anirudha Balasubramanian, we study a trading game with agents who face a high-dimensional estimation problem. Our model addresses the situation faced by key financial intermediaries whose trading strategies involve big data and computational problems.Chapter 1 investigates what quantity of reserves the Fed should supply to support effective monetary policy implementation and an efficient interbank payment system. I construct a model linking interbank intraday payment timing with monetary policy implementation. The key players in my model are large U.S. banks, which are important financial intermediaries in the modern financial system. A low supply of reserves causes banks to delay payments to each other and strategically hoard reserves, which in turn disincentivizes banks from providing liquidity to short-term funding markets, driving up the spreads between overnight risk-free market rates and the central bank deposit rate. As reserve balances get sufficiently low, even small reductions in reserves can have large impacts on these spreads, as in September 2019. My fitted model captures the funding rate spikes of September 16-18, 2019 as an out-of-sample event.Chapter 2 explores the empirical relationship between the supply of total reserves and repo rates. We document that the Federal Reserve's "balance-sheet normalization," which reduced aggregate reserves between 2017 and September 2019, increased repo rate distortions, the severity of rate spikes, and intraday payment timing stresses, culminating with a significant disruption in Treasury repo markets in mid-September 2019. We show that repo rates rose above efficient-market levels when the total reserve balances held at the Federal Reserve by the largest repo-active bank holding companies declined and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large bank holding companies.Chapter 3 studies a trading game with agents who face a high-dimensional estimation problem. Our model addresses the situation faced by key financial intermediaries whose trading strategies involve big data and computational problems. In the presence of a curse of dimensionality, we show rational expectations equilibrium is ε−approximated by a strategy profile in which each agent uses only a ridge regression on her own data to forecast the fundamental's distribution and does not make inference on price in her demand curve submission. We document how such an equilibrium matches survey evidence about modern trading processes. We derive quantitative properties of price's prediction risk and equilibrium trading volume, introducing a "regularization externality" in price formation and accounting for trading volume spikes on earnings dates.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Phase transitions. $3 3560387
650 4 $a Funding. $3 3557916
650 4 $a Finance. $3 542899
655 7 $a Electronic books. $2 lcsh $3 542853
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690 $a 0501
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a Stanford University. $3 754827
773 0 $t Dissertations Abstracts International $g 84-04A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29342275 $z click for full text (PQDT)