演讲人：李蔚（华东师范大学）

时间：2023年11月7日（周二）12:00-13:00

地点：同济大厦A楼505室

同步#腾讯会议：747436423

会议密码：874823

链接：https://meeting.tencent.com/dm/ppVMtZjLXkIu

摘要：

The Chinese interbank bilateral pledge repo market accounts for the overwhelming majority of short-term financing in China. Using detailed transaction-level data, this paper finds that the repo trading relationship is concentrated, persistent, and asymmetric with low reciprocity. Stronger relationship is associated with higher trading volume, lower repo rates, and lower haircuts. Lenders always provide funding at more favorable terms to their preferred borrowers while borrowers pay higher prices to their preferred lenders during normal times in exchange for lower prices in high-rate periods. Furthermore, relationship helps in times of crisis but its impact differs depending on the nature of the crisis. By offering new perspectives on relationship measures and differentiating between states of the market, the findings shed light on the investor interactions in the opaque bilateral repo market.

简介：

李蔚，华东师范大学经济与管理学院晨晖学者，于2021年毕业于复旦大学，获经济学博士学位，曾赴哈佛大学经济系联合培养。主要研究领域为金融市场，当前研究兴趣侧重于场外市场。其研究成果发表于Journal of Financial and Quantitative Analysis和《经济研究》。