Amy Wang Huber

PhD Student, Finance
PhD Program Office Graduate School of Business Stanford University 655 Knight Way Stanford, CA 94305

Amy Wang Huber

Research Interests

  • Financial intermediation
  • Asset pricing
  • Macro-finance
  • International finance

Job Market Paper

Lender Preference, Borrower Market Power, and the Effect of RRP

I model and structurally estimate the equilibrium rates and volumes on the Triparty repo market to study how imperfect competition affects monetary transmission through this key financial market. Even on this sophisticated, secured, wholesale funding market, I document persistent rate differences paid by cash-borrowers (dealers). Motivated by this observation, I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that, because of cash-lenders' aversion to concentrated portfolios, dealers hold substantial market power and command 83% of the 33-bps total surplus. I show through counterfactual analyses that, between 2014 and 2017, the Federal Reserve's Reverse Repo Facility (RRP) aided the passthrough of policy rates by constraining dealers' market power. Without the RRP, dealers' markdown would have widened, leaving a 9-bps larger wedge between the Triparty repo rate and the rate passed on from Triparty to the broader financial market.

Working Papers

Are Intermediary Constraints Priced?

(Joint with Wenxin Du and Benjamin Hébert) Violations of no-arbitrage conditions measure the shadow cost of constraints on intermediaries, and the risk that these constraints tighten is priced. We demonstrate in an intermediary-based asset pricing model that violations of no-arbitrage such as covered interest rate parity (CIP) violations, along with intermediary wealth returns, can be used to price assets. We describe a “forward CIP trading strategy” that bets on CIP violations becoming smaller, and show that its returns help identify the price of the risk that the shadow cost of intermediary constraints increases. This risk contributes substantially to the volatility of the stochastic discount factor, and appears to be priced consistently in U.S. treasury, emerging market sovereign bond, and foreign exchange portfolios.