Market Power and Capital Constraints

• 成果类型: Article
• 署名作者: Wittwer, Milena; Allen, Jason
• 署名单位: Columbia University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Bank of Canada; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20231202
• 发表日期: 2026-04
• 页码: 1309-1339
• 关键词: divisible good auctions; 1st-price auctions; MODEL; deviations; equilibria; inference; mechanism

摘要

We explore how traders' equity capitalization influences asset prices in a framework that accounts for market power. In our model, traders with capital constraints engage in transactions in an imperfectly competitive market. We demonstrate that looser capital constraints elevate both asset prices and price impact, the latter diminishing market liquidity. Using Canadian Treasury auction data, we illustrate how to apply our model to quantify these effects. We estimate the shadow costs of capital constraints by leveraging a temporary policy exemption during 2020-2021. We show that while these constraints are only infrequently binding, their relative impact when activated can be sizable. (JEL E63, G12, G14, G23, G41, L13)