Risk-averse Dealers in a Risk-free Market - The Role of Trading Desk Risk Limits
利用美国交易商国债交易台的高频监管数据，研究发现交易商在接近内部风险限额时会主动减少持仓并提高风险补偿，2020年危机期间接近限额的交易台向美联储出售更多国债，表明自我施加的风险限额解释了交易商的风险规避行为及市场波动与流动性的微观联系。
Self-imposed risk limits effectively limit dealers' appetite for risks and their capacity to intermediate in Treasury markets in times of market stress. Using granular and high frequency regulatory data on US dealers' Treasury securities trading desk positions and desk-level Value-at-Risk limits, we show that dealers are more inclined to reduce their positions as they get closer to their internal risk limit, consistent with such limit being meaningful and costly for traders to breach. Dealers actively manage their inventories away from their limits by selling longer-term securities and requiring higher compensation to take on additional risks. During the height of the Covid-crisis in 2020, dealer desks that were closer to their VaR limits sold more Treasury securities to the Fed and accepted lower prices in the emergency open market operations. Our findings complement studies that link post-GFC bank regulations to market liquidity by showing that self-imposed risk limits can explain the risk-averse behavior by dealers, and provide a micro-foundation for the link between market volatility and market liquidity in dealer-intermediated OTC markets. In times of crisis, policy prescriptions such as deregulation alone may not be sufficient to induce risk-taking by dealer intermediaries. Moreover, to address market functioning issues, policy actions that address the funding costs of intermediaries would not be as effective as policies that remove risks from intermediary balance sheets directly.