Market power in wholesale funding: A structural perspective from the triparty repo market
通过结构模型估计三方回购市场的均衡利率和交易量，发现现金贷方对投资组合集中度的厌恶和对稳定贷款的偏好赋予交易商显著的市场势力，导致批发回购利率低估了依赖回购融资的参与者的实际融资成本。
I model and structurally estimate the equilibrium rates and volume in the Triparty repo market to study imperfect competition in wholesale funding. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders' aversion to portfolio concentration and preference for stable lending grant dealers substantial market power: between 2011 and 2017, dealers borrowed at rates that were 26 bps lower than their marginal value from intermediating the borrowed repo funds. Dealers' market power makes the observed wholesale repo rate understate the financing rate available to market participants who rely on repo funding, and offers a novel explanation for funding spreads such as the Treasury cash-futures basis and the Treasury swap spread.