We study the role of bargaining power and outside options for the pricing of over-the-counter interbank loans using a bilateral Nash bargaining model and test the model predictions with detailed transaction-level data from the euro-area interbank market. We find that lender banks with greater bargaining power over their borrowers charge higher interest rates, while the lack of alternative investment opportunities for lenders reduces bilateral interest rates. Moreover, we find that lenders that are not eligible to earn interest on excess reserves (IOER) lend funds below the IOER rate to borrowers with access to the IOER facility, which in turn put these funds in their reserve accounts to earn the spread. Our findings highlight that this persistent arbitrage opportunity is not a result of the mere lack of alternative outside options of some lenders, but it crucially depends on their limited bilateral bargaining power, leading to a persistent segmentation of prices in the euro interbank market. We examine the implications of these findings for the transmission of euro-area monetary policy.

中文翻译：

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银行同业拆借市场的议价能力和外部选择

我们使用双边纳什议价模型研究议价能力和外部选择对场外银行同业拆借贷款定价的作用，并使用欧元区银行同业拆借市场的详细交易级数据测试模型预测。我们发现，对借款人具有更大议价能力的贷方银行收取更高的利率，而贷方缺乏替代投资机会降低了双边利率。此外，我们发现没有资格赚取超额准备金利息 (IOER) 的贷方将低于 IOER 利率的资金借给可以使用 IOER 工具的借款人，而借款人又将这些资金存入他们的准备金账户以赚取利差。我们的研究结果强调，这种持续的套利机会不仅仅是由于某些贷方缺乏其他外部选择的结果，但这关键取决于它们有限的双边议价能力，导致欧元银行同业拆借市场的价格持续分割。我们研究了这些发现对欧元区货币政策传导的影响。