Intermediary Capital and the Credit Market

• 成果类型: Article
• 署名作者: Harris, Milton; Opp, Christian C.; Opp, Marcus M.
• 署名单位: University of Chicago; University of Rochester; National Bureau of Economic Research; Stockholm School of Economics; Centre for Economic Policy Research - UK
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.01536
• 发表日期: 2025
• 页码: 162-183
• 关键词: composition of credit; Intermediary asset pricing; Credit rationing; public market substitution; capital regulation

摘要

We propose a tractable framework to examine the role of intermediary capital in the allocation and pricing of credit. In our model, regulated financial intermediaries compete with unregulated investors, targeting distributions of heterogeneous borrowers. We derive a sufficient statistic that characterizes intermediaries' cross-sectional lending decisions and provide a novel intermediary asset pricing equation that accounts for the endogenous segmentation of marginal investors across securities. These formulae reveal the central role of intermediaries' shadow cost of capital in both credit allocation and pricing. Our results can concurrently rationalize a broad array of empirical facts documented in the context of credit markets.