Bargaining power and outside options in the interbank lending market
使用双边纳什议价模型研究银行间贷款定价中议价能力和外部选择的作用，发现贷款方议价能力越强利率越高，而缺乏替代投资机会会降低利率，并揭示了低于超额准备金利率的套利行为依赖于贷款方有限的议价能力。
Abstract We study the role of bargaining power and outside options with respect to the pricing of over‐the‐counter interbank loans using a bilateral Nash bargaining model, and we test the model predictions with detailed transaction‐level data from the euro‐area interbank market. We find that lender banks with greater bargaining power over their borrowers charge higher interest rates, whereas the lack of alternative investment opportunities for lenders lowers bilateral interest rates. Moreover, we find that when lenders that are not eligible to earn interest on excess reserves (IOER) lend funds to borrowers with access to the IOER facility, they do so at rates that are below the IOER rate; in turn, these borrowers put the funds in their reserve accounts to earn the spread. Our findings highlight that this persistent arbitrage crucially depends on lenders’ limited bilateral bargaining power. We examine implications of these findings for the transmission of euro‐area monetary policy.