Systemic Risk and Monetary Policy: The Haircut Gap Channel of the Lender of Last Resort
研究发现最后贷款人政策会加剧银行间的关联性，通过分析私人市场与央行之间的利差缺口，揭示了该政策如何激励银行增加高利差缺口债券的质押和持有，从而放大系统性风险。
Abstract We show that lender of last resort (LOLR) policy exacerbates bank interconnectedness. Using novel micro-level data, we analyze LOLR’s haircut gaps: the differences between the private market and central bank haircuts. LOLR policy incentivizes banks to increase pledging and holdings of higher haircut-gap bonds, especially those issued by domestic and systemically important banks. Effects only apply to banks, not to nonbanks without LOLR access. LOLR funding revives bank bond issuance associated with higher haircut gaps and increases the subsequent correlation between pledging and issuing banks’ bond prices, in particular during periods of low-market returns and for domestic, systemically important banks.