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Amy Wang Huber

Curriculum Vitae

ABOUT ME

I’m a Finance Ph.D. candidate at Stanford Graduate School of Business. In my research, I examine the impact of financial intermediation on asset prices, monetary policy, and international finance. I pursue this line of inquiry employing both traditional asset pricing theories and tools from industrial organization.

I received my A.B. in Economics, magna cum laude, from Harvard University, and I became a CFA charterholder in 2016. Prior to my doctoral studies, I worked as a consultant at McKinsey & Company in New York, and as a private equity investor at Abu Dhabi Investment Authority in the U.A.E.

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RESEARCH

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  • Job market paper
  • Working paper

Lender Preference, Borrower Market Power, and the Effect of RRP

I model and structurally estimate the equilibrium rates and volumes on the Triparty repo market to study how imperfect competition affects monetary transmission to this key financial market. Motivated by new facts that I document, I characterize the Triparty market as cash-lenders allocating their portfolios among differentiated cash-borrowers (dealers) who set repo rates. I find that even within this liquid and sophisticated market, because of cash-lenders' aversion to concentrated portfolios, dealers hold substantial market power and command over 80% of the total surplus. I show through counterfactual analyses that, between 2014 and 2017, the Federal Reserve’s Reverse Repo Facility (RRP) aided the passthrough of policy rates by constraining dealers' market power. Without the RRP, dealers' markdown would have widened, leaving the Triparty repo rate 11 bps below the lower bound of the policy target and lowering the passthrough rate to the broader financial market by 7 bps.

Are Intermediary Constraints Priced?

with Wenxin Du and Benjamin H├ębert, Conditionally Accepted at The Review of Financial Studies

Violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a “forward CIP trading strategy” that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy’s risk contributes substantially to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be priced consistently across various asset classes.

PERSONAL

COUNTRIES VISITED

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COUNTRIES VISITED

KM RAN IN GRAD SCHOOL

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KM RAN IN GRAD SCHOOL

NIGHTS OF GIRL SCOUNT CAMPING

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NIGHTS OF GIRL SCOUNT CAMPING

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