Intermediary Leverage Shocks and Funding Conditions

• 成果类型: Article
• 署名作者: Fontaine, JEAN-SeBASTIEN; Garcia, Rene; Gungor, Sermin
• 署名单位: Bank of Canada
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13407
• 发表日期: 2025
• 关键词: market liquidity; cross-section; asset; RISK; deviations; arbitrage; prices; MODEL; ask

摘要

The aggregate leverage of broker-dealers responds to demand and supply disturbances that have opposite effects on financial markets. Specifically, leverage supply shocks that relax broker-dealers' funding constraints increase leverage, liquidity, and returns and carry a positive price of risk, while leverage demand shocks also increase leverage but reduce liquidity and returns and carry a negative price of risk. Disentangling demand- and supply-like shocks resolves existing puzzles around the price of leverage risk and yields consistent evidence across many markets of a central role for intermediation frictions and dealers' aggregate leverage in asset pricing.