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Yiming Ma Address: Stanford Graduate School of Business, PhD Office, 655 Knight Way, Stanford CA 94305 Email: [email protected] Homepage: https://www.yimingma.com Phone: +1 (313) 209 2403 Education 2013 2018 Stanford Graduate School of Business, Stanford CA Ph.D. in Finance. (expected) Dissertation Committee Arvind Krishnamurthy (Advisor) Amit Seru Stanford Graduate School of Business Stanford Graduate School of Business [email protected] [email protected] +1 (650) 723 1985 +1 (650) 736 0223 Ali Yurukoglu Jeffrey Zwiebel Stanford Graduate School of Business Stanford Graduate School of Business [email protected] [email protected] +1 (650) 721 1293 +1 (650) 723 1985 2009 2013 Yale University, New Haven CT B.A. in Economics & Mathematics and Global Affairs (with distinction in both majors) Research Interests Financial Intermediation, Interbank Markets, Financial Stability, Monetary Policy, Structural Estimation Working Papers Intermediation in the Interbank Lending Market (Job Market Paper) joint with Ben Craig (Deutsche Bundesbank and Cleveland Fed) 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 for- mation 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.

Yiming Ma: Curriculum Vitae - gsb.stanford.edu Krishnamurthy (Advisor) Amit Seru ... Yiming Ma: Curriculum Vitae Author: Yiming Ma Subject: Curriculum Vitae Keywords: economics, statistics,

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Page 1: Yiming Ma: Curriculum Vitae - gsb.stanford.edu Krishnamurthy (Advisor) Amit Seru ... Yiming Ma: Curriculum Vitae Author: Yiming Ma Subject: Curriculum Vitae Keywords: economics, statistics,

Yiming MaAddress: Stanford Graduate School of Business, PhD Office, 655 Knight Way, Stanford CA 94305

Email: [email protected]: https://www.yimingma.comPhone: +1 (313) 209 2403

Education

2013 – 2018 Stanford Graduate School of Business, Stanford CAPh.D. in Finance. (expected)

Dissertation CommitteeArvind Krishnamurthy (Advisor) Amit SeruStanford Graduate School of Business Stanford Graduate School of [email protected] [email protected]+1 (650) 723 1985 +1 (650) 736 0223

Ali Yurukoglu Jeffrey ZwiebelStanford Graduate School of Business Stanford Graduate School of [email protected] [email protected]+1 (650) 721 1293 +1 (650) 723 1985

2009 – 2013 Yale University, New Haven CTB.A. in Economics & Mathematics and Global Affairs (with distinction in both majors)

Research Interests

Financial Intermediation, Interbank Markets, Financial Stability, Monetary Policy, Structural Estimation

Working Papers

Intermediation in the Interbank Lending Market (Job Market Paper)joint with Ben Craig (Deutsche Bundesbank and Cleveland Fed)

This paper studies systemic risk in the interbank market. We first establish that in the German interbanklending 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 for-mation to explain these patterns. The model is structurally estimated using banks’ preferences as revealedby the observed network structure in the pre-crisis period. It explains why the interbank intermediationarrangement arises, estimates the frictions underlying the arrangement, and quantifies how shocks aretransmitted across the network. Model estimates based on pre-crisis data successfully predict changes innetwork-links and in lending arising from the crisis-shocks to the intermediary banks. The model is usedto quantify the systemic risk of a single intermediary and the impact of ECB funding in reducing this risk.

Page 2: Yiming Ma: Curriculum Vitae - gsb.stanford.edu Krishnamurthy (Advisor) Amit Seru ... Yiming Ma: Curriculum Vitae Author: Yiming Ma Subject: Curriculum Vitae Keywords: economics, statistics,

Yiming Ma 2

Passthrough of Treasury Supply to Bank Depositsjoint with Yang Zhao (Stanford GSB)

We demonstrate the impact of treasury supply on commercial banks’ funding. We show that banks widentheir 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 competitivemarkets experience larger outflows and more pronounced jumps in wholesale funding. Results remainrobust after controlling for investment opportunities and fed funds rate changes. The empirical findingsare rationalized with a search model, in which banks’ market power stems from the presence of inattentivedepositors. Consistent with Drechsler, Savov and Schnabl (2017), the model predicts the opposite effect forFed Funds rate hikes, i.e., a larger response in less competitive markets. Our model also sheds light on theeffects of the Reverse Repo Facility.

The Effects of Negative Interest Rates on Interbank Markets (under data review)joint with Andrea Deghi (European Central Bank) and Christoffer Kok (European Central Bank)

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

Work in Progress

Estimating the Reversal Rate of Monetary Policyjoint with Andrea Deghi (European Central Bank)

Awards

2017 Shultz Fellow2016 AFA Doctoral Student Travel Grant2013 Yale University Head Ambassador2011 FIELDS Scholar2009 Hong Kong Government Scholarship2009 Sir Edward Youde Memorical Medal

Teaching and Research Experience

2015 – 2017 TA for Prof. Arvind Krishnamurthy, FIN 347 (Money and Banking, MBA)2014 – 2016 RA for Prof. Arvind Krishnamurthy2016 RA for Prof. Darrell Duffie2015 TA for Prof. Anat Admati, FIN 332 (Finance and Society, MBA)2011 – 2013 RA for Prof. Gary Gorton

Page 3: Yiming Ma: Curriculum Vitae - gsb.stanford.edu Krishnamurthy (Advisor) Amit Seru ... Yiming Ma: Curriculum Vitae Author: Yiming Ma Subject: Curriculum Vitae Keywords: economics, statistics,

Yiming Ma 3

Other Experiences

2014 – Present Visiting Researcher, Deutsche Bundesbank2013 Visting Researcher, People’s Bank of China

Personal Information

D.O.B. Nov 10, 1990

Gender FemaleCitizenship Hong KongMarital Status SingleLanguages Mandarin (Native), Cantonese (Native), English (Fluent), German (Fluent)

Last updated: November 20, 2017