Funding Liquidity and Market Liquidity: The Broker-Dealer Perspective
研究了经纪交易商的融资流动性（如回购折扣率和利率）如何影响其在公司债券市场中的流动性供给，发现融资流动性恶化会导致买卖价差和交易成本上升，且与货币基金的关系是关键因素。
We provide direct evidence of how dealers’ funding liquidity affects their liquidity provision in securities markets. Worse funding liquidity (higher repo haircuts and rates) leads to larger bid-ask spreads and transaction costs in corporate bonds. We also find that dealers’ relationships with money funds are important determinants of their repo haircuts and rates. Using dealers’ exposure to the 2016 Securities and Exchange Commission (SEC) money fund reform as an instrument, we show that funding liquidity indeed has a causal effect on market liquidity. Finally, dealers with lower funding liquidity tend to have smaller market shares and execute more trades on an agency basis. This paper was accepted by Haoxiang Zhu, finance.