We show that lender of last resort (LOLR) policy exacerbates bank interconnectedness. Using novel micro-level data, we analyze LOLR's haircut gaps: the differences between the private market and central bank haircuts. LOLR policy incentivizes banks to increase pledging and holdings of higher haircut-gap bonds, especially those issued by domestic and systemically important banks. Effects only apply to banks, not to nonbanks without LOLR access. LOLR funding revives bank bond issuance associated with higher haircut gaps and increases the subsequent correlation between pledging and issuing banks’ bond prices, in particular during periods of low-market returns and for domestic, systemically important banks.

中文翻译：

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系统性风险与货币政策：最后贷款人的削减缺口渠道

我们表明，最后贷款人（LOLR）政策加剧了银行的相互关联性。使用新颖的微观数据，我们分析了 LOLR 的折扣差距：私人市场和央行折扣之间的差异。LOLR政策激励银行增加质押和持有较高折扣缺口的债券，特别是那些由国内银行和具有系统重要性的银行发行的债券。影响仅适用于银行，不适用于没有 LOLR 访问权限的非银行。LOLR融资恢复了与较高折扣缺口相关的银行债券发行，并增加了质押银行和发行银行债券价格之间的后续相关性，特别是在市场回报较低的时期以及对于国内具有系统重要性的银行而言。