Amy Wang Huber

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

Amy Wang Huber

I will join the Wharton School of the University of Pennsylvania as an Assistant Professor of Finance in Jan 2023, after spending Fall 2022 as a Postdoctoral Research Associate at the Jones Graduate School of Business at Rice University.

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 policy implementation. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I therefore characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders' aversion to concentrated portfolios gives dealers substantial market power: dealers borrow at rates that are 21 bps lower than their marginal benefit from intermediating borrowed funds, inserting a considerable wedge in wholesale funding rates. I show through counterfactual analyses the effect of the Federal Reserve's Reverse Repo Facility (RRP). Compared to its absence, the RRP raised the Triparty repo rate by 15 bps and tightened dealers' markdowns by 8 bps between 2014 and 2017; these effects were amplified by the Money Market Fund Reform.

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.