Yiming Ma

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

Yiming Ma

I am a Finance PhD candidate on the job market during the 2017-2018 academic year and will be available for interviews at the ASSA 2018 Meetings.

Job Market Paper

This paper studies systemic risk in the interbank market. We first establish that in the German interbank lending market, a few large banks intermediate funding flows between many smaller periphery banks. Shocks to these intermediary banks in the financial crisis spill over to the activities of the periphery banks. We then develop a network formation model in which banks trade off the costs and benefits of link formation to explain these patterns. The model is structurally estimated using banks' preferences as revealed by the observed network structure in the pre-crisis period. It explains why the interbank intermediation arrangement arises, estimates the frictions underlying the arrangement, and quantifies how shocks are transmitted across the network. Model estimates based on pre-crisis data successfully predict changes in network-links and in lending arising from the crisis-shocks to the intermediary banks. The model is used to quantify the systemic risk of a single intermediary and the impact of ECB funding in reducing this risk.

Working Papers

Passthrough of Treasury Supply to Bank Deposits, joint with Zhao Yang (Stanford GSB)

We demonstrate the impact of treasury supply on commercial banks' funding. We show that banks widen their deposit spread as treasury supply increases, leading to a net deposit outflow. At the same time, wholesale funding ratios increase. Both effects are heterogeneous in nature --- banks in more competitive markets experience larger outflows and more pronounced jumps in wholesale funding. Results remain robust after controlling for investment opportunities and fed funds rate changes. The empirical findings are rationalized with a search model, in which banks' market power stems from the presence of inattentive depositors. Consistent with Drechsler, Savov and Schnabl (2017), the model predicts the opposite effect for Fed Funds rate hikes, i.e., a larger response in less competitive markets. Our model also sheds light on the effects of the Reverse Repo Facility.

The Effects of Negative Interest Rates on Interbank Markets, joint with Andrea Deghi (ECB) and Christoffer Kok (ECB)

We show that the effects of negative interest rates are amplified in the unsecured interbank market. As retail deposit rates are floored at zero while asset returns track policy rates, the use of deposit funding shrinks net returns, lowers bank capital and raises the cost of external financing. We find that deposit reliant banks face stronger downward pressure on net interest margins and are more likely to reduce lending to the same borrowing bank in the interbank market. However, deposit funded banks also tend to be more profitable and better capitalized to begin with, partially alleviating the adverse impact of negative rates.

Work in Progress

Estimating the Reversal Rate of Monetary Policy, joint with Andrea Deghi (ECB)