Intermediary Capital and the Credit Market
构建了一个分析框架，研究受监管金融中介的资本如何影响信贷分配与定价，推导出中介资本影子成本的关键作用，并解释了信贷市场的多项实证现象。
We propose a tractable framework to examine the role of intermediary capital in the allocation and pricing of credit. In our model, regulated financial intermediaries compete with unregulated investors, targeting distributions of heterogeneous borrowers. We derive a sufficient statistic that characterizes intermediaries’ cross-sectional lending decisions and provide a novel intermediary asset pricing equation that accounts for the endogenous segmentation of marginal investors across securities. These formulae reveal the central role of intermediaries’ shadow cost of capital in both credit allocation and pricing. Our results can concurrently rationalize a broad array of empirical facts documented in the context of credit markets. This paper was accepted by Tomasz Piskorski, finance. Funding: This work was supported by Marcus och Amalia Wallenbergs minnesfond [Grant 2021.0122].