时 间：2021年11月29日（周一）13：30
地 点：理科大楼A1514室
题 目：Disintermediating the Federal Funds Market
主讲人：张蒙博 上海财经大学金融学院助理教授
主持人：何超 助理教授
主 办：宏观经济学团队
摘 要：
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.
报告人简介：
张蒙博博士2021年毕业于加州大学洛杉矶分校经济系，获经济学博士，目前在上海财经大学金融学院任教，担任助理教授。张蒙博博士的研究方向为宏观经济学，货币银行学，搜寻匹配理论。他的研究成果发表在《Journal of Money, Credit and Banking》等国际权威经济学杂志上。