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We document an active secondary market for shares in syndicated term loans using confidential supervisory data. While most of the existing literature examines trades close to origination, this paper is the first to study the secondary market spanning the lifecycle of a syndicated term loan. We establish a set of novel empirical facts concerning the trading of loan shares after origination and identify the key participants and their trading patterns. We characterize the determinants of existence of an active secondary market, the size of turn-over of lender shares, and the resulting allocations of credit exposures. Higher nonbank participation is associated with greater trading activity over the lifecycle of a syndicated loan.
(joint with Jan-Peter Siedlarek)
@article{siedlarek2025secondary,
author = {Siedlarek, Jan-Peter and Yankov, Vladimir},
title = {The Secondary Market for Syndicated Loans},
year = {2025},
note = {Working paper},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5191165}
}
Conferences: FRB Board liquidity workshop, 2025 IBEFA, Econometric Society 2025 European Winter Meeting, 2026 Midwest Finance Association, 2026 Summer meetings of the Econometric Society.
We develop a model of the repo market with strategic interactions among dealers who compete for funding in a decentralized over-the-counter market and have access to a centrally cleared interdealer market. We show that such wiring of the repo market combined with imperfect competition in dealer funding results in market inefficiencies and instability. The model allows us to disentangle supply and demand factors, and we use these factors to estimate supply and demand elasticities. Our estimates suggest that the instability of the market in September 2019 was driven by a large supply shock facing inelastic dealer funding demand, amplified by strategic interactions among dealers. We evaluate different interventions for market functioning and efficiency, including the Standing Repo Facility.
(joint with Elizabeth Kleeand Jin-Wook Chang)
@article{chang2025rewiring,
author = {Chang, Jin-Wook and Klee, Elizabeth and Yankov, Vladimir},
title = {Rewiring Repo},
year = {2025},
note = {Working paper},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5146984}
}
Conferences: 2024 Conference on Network Science and Economics, 2025 AEA/ASSA, 2025 WEAI, 2025 European Finance Association, 2025 Northern Finance Association, 2026 ASSA-AFA, and 2026 NBER, Financial Market Frictions and Systemic Risks .
We examine the firm-level and aggregate effects of the collateral channel using administrative bank-firm-loan level data. We introduce novel instrumental variables related to the efficiency of federal district bankruptcy courts and show their importance as a predictor for the pledging of commercial real estate as collateral and banks' expectations for losses given default. Following appreciation of real estate values, firms that pledge real estate experience expansion in bank credit, reductions in credit spreads and increases in maturity of loans that allow for increases in leverage, capital expenditures, total assets, and sales. Such firm-level collateral channel effects are significant at non-public and high bank-dependent borrowers and are not present at firms that borrow unsecured, even if those firms own real estate. The elasticity of bank credit to collateral values is substantially larger when estimated at the MSA level, suggestive of a significant credit multiplier effects. Our estimates indicate that a notable portion of employment growth from 2013 to 2019 can be attributed to the easing of borrowing constraints at non-public bank-dependent borrowers in markets with large shares of firms pledging real estate as collateral.
(joint with Arun Gupta and Horacio Sapriza)
Read Paper, new version under review
@article{gupta2024collateral,
author = {Gupta, Arun and Sapriza, Horacio and Yankov, Vladimir},
title = {The Collateral Channel and Bank Credit},
year = {2024},
note = {Working paper, under review},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4023809}
}
Conferences: 2022 IFABS Conference, the 2022 meetings of the European Economic Association, 2023 Western Finance Association, 2025 AEA/ASSA, The Micro and Macro of Financial Intermediation, Central Bank of Chile.
A large fraction of credit lines to the corporate sector are syndicated allowing for risk-diversification and coinsurance. We develop a simple model to study the provision of liquidity through syndicated credit lines. The capacity of banks to provide liquidity to firms depends on the structure of the interbank network arising from syndication and on a set of interbank commitments called fronting exposures that facilitate payment flows among syndicate members. We show that the liquidity capacity has increased significantly following the introduction of liquidity regulation. Furthermore, the liquidity co-insurance of interbank fronting exposures is economically important for the corporate sector. Finally, we document that borrowers with higher reliance on credit lines have become more likely to obtain credit lines from syndicates with higher liquidity capacities. This assortative matching on liquidity characteristics has strengthened the importance of large banks as liquidity providers to the corporate sector in the post GFC period.
(joint with Kevin Kiernan)
Read paper, under review
@article{kiernan2023liquidity,
author = {Kiernan, Kevin and Yankov, Vladimir},
title = {Liquidity Provision of Syndicated Credit Lines},
year = {2023},
note = {Working paper, under review},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3930232}
}
Conferences: 2023 European Finance Association, 2023 Northern Finance Association, 2024 Conference on Network Science and Economics, 2025 IBEFA/WEAI.
We revisit the effect of collateral constraints in a general equilibrium model where heterogeneous firms endogenously choose between borrowing against asset-based and earnings-based forms of collateral. We discipline the model based on rich micro-level data and compare model predictions to firm-level employment responses during the 2012-2019 commercial real estate price boom. The model replicates two key patterns in the data. First, asset-based borrowing is concentrated at smaller firms. Second, firms borrowing against their assets increase employment significantly more than firms borrowing against their earnings when commercial real estate prices rise. Despite sizable cross-sectional effects, the aggregate effects of collateral constraints are small, because of offsetting general equilibrium effects.
(joint with Marios Karabarbounis, Patrick Macnamara, and Horacio Sapriza)
Conferences: 2023 Society for Economic Dynamics, 2024 University of Rochester, 2026 Society for Economic Dynamics.
We evaluate how well the secondary market for leveraged loans allocated credit and liquidity risk during the COVID-19 pandemic.
(joint with Jan-Peter Siedlarek)
How frictional is the U.S. commercial lending market?
(joint with Russel (TN) Wong and Horacio Sapriza)
We examine whether access to the Federal Reserve's Overnight Reverse Repo Facility (ON RRP) affects money market fund flows during flight-to-safety episodes. We find that funds with ON RRP access serving sophisticated investors experience about a 1 percentage point increase in net daily flows over total assets during the March 2020 flight-to-safety episode relative to similar funds without access. The effect aligns with theoretical predictions and explains more than half of the inflows in those funds. Our results show that access to central bank deposit facilities amplifies flight-to-safety behavior.
(joint with Lucia Gurrieri, Ben Schmiedt, Chase Ross, and Alexandros P. Vardoulakis)
@article{gurrieri2024central,
author = {Gurrieri, Lucia and Ross, Chase P. and Schmiedt, Ben and Vardoulakis, Alexandros P. and Yankov, Vladimir},
title = {Central Bank Access and Flight to Safety},
year = {2024},
institution = {Board of Governors of the Federal Reserve System},
type = {Finance and Economics Discussion Series},
url = {https://www.federalreserve.gov/econres/feds/central-bank-access-and-flight-to-safety.htm}
}
I examine the role of costly consumer search for the pricing of deposits. Estimates of a model of heterogeneous search cost households reveal a large fraction of high-search-cost depositors composed of elderly and less financially sophisticated households. Those households grant banks significant monopoly power that results in low and asymmetric interest rate pass-through. The predictions of the estimated model are consistent with responses in the Survey of Consumer Finances to questions related to financial sophistication, search for investment return, and deposit allocations across multiple bank accounts. The estimated model also reveals a non-monotone relationship between bank entry, deposit rates, and consumer surplus.
Journal of Money Banking and Credit, Volume 56, Issue 5, August 2024, Pages 1053-1098
Featured on the WSJ "Where to Put Your Money After the Fed Rate Cut", September 18, 2024.@article{yankov2024search,
author = {Yankov, Vladimir},
title = {In Search of a Risk-Free Asset},
journal = {Journal of Money, Credit and Banking},
year = {2024},
volume = {56},
number = {5},
pages = {1053--1098},
doi = {10.1111/jmcb.13040}
}
Deposit insurance schemes in many countries place a limit on the coverage of deposits in each bank. However, no limits are placed on the number of accounts held with different banks. Therefore, under limited deposit insurance, some consumers open accounts with different banks. We compare three regimes of deposit insurance: No deposit insurance, unlimited deposit insurance, and limited deposit insurance. We show that limited deposit insurance weakens competition among banks and reduces consumer welfare as well as total welfare relative to no or unlimited deposit insurance.
(joint with Oz Shy and Rune Stenbacka)
Journal of Banking and Finance, Volume 71, October 2016, Pages 95-108.
@article{shy2016limited,
author = {Shy, Oz and Stenbacka, Rune and Yankov, Vladimir},
title = {Limited Deposit Insurance Coverage},
journal = {Journal of Banking \& Finance},
year = {2016},
volume = {71},
pages = {95--108},
url = {http://www.sciencedirect.com/science/article/pii/S0378426616300735}
}
To identify disruptions in credit markets, research on the role of asset prices in economic fluctuations has focused on the information content of various corporate credit spreads. We re-examine this evidence using a broad array of credit spreads constructed directly from the secondary bond prices on outstanding senior unsecured debt issued by a large panel of nonfinancial firms. An advantage of our ``ground-up'' approach is that we are able to construct matched portfolios of equity returns, which allows us to examine the information content of bond spreads that is orthogonal to the information contained in stock prices of the same set of firms, as well as in macroeconomic variables measuring economic activity, inflation, interest rates, and other financial indicators. Our portfolio-based bond spreads contain substantial predictive power for economic activity and outperform - especially at longer horizons - standard default-risk indicators. Much of the predictive power of bond spreads for economic activity is embedded in securities issued by intermediate-risk rather than high-risk firms. According to impulse responses from a structural factor-augmented vector autoregression, unexpected increases in bond spreads cause large and persistent contractions in economic activity. Indeed, shocks emanating from the corporate bond market account for more than 30 percent of the forecast error variance in economic activity at the two-to four-year horizon. Overall, our results imply that credit market shocks have contributed significantly to U.S. economic fluctuations during the 1990--2008 period.
(joint with Simon Gilchrist and Egon Zakrajsek)
Journal of Monetary Economics, Elsevier, vol. 56(4), May 2009, pages 471-493.
Featured on the WSJ "Giving Corporate Credit Its Due", April 10, 2009.
@article{gilchrist2009credit,
author = {Gilchrist, Simon and Yankov, Vladimir and Zakrajsek, Egon},
title = {Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets},
journal = {Journal of Monetary Economics},
year = {2009},
volume = {56},
number = {4},
pages = {471--493},
url = {http://www.sciencedirect.com/science/article/pii/S0304393209000440}
}