Rollover risk, liquidity and macroprudential regulation

Arbeitspapier

I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex ante and are subject to fire sales ex post. Precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness refinement to characterize the privately optimal liquidity choice. Because of fire sales, liquidity holdings are strategic substitutes. Intermediaries free ride on the liquidity of other intermediaries, causing excessive liquidation. A macroprudential authority internalizes the systemic nature of liquidity and restores constrained efficiency by imposing a macroprudential liquidity buffer.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Canada Working Paper ; No. 2014-23

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Portfolio Choice; Investment Decisions ; Financial Institutions and Services: Government Policy and Regulation
• Thema: Financial institutions ; Financial system regulation and policies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ahnert, Toni
• Ereignis: Veröffentlichung
• (wer): Bank of Canada
• (wo): Ottawa
• (wann): 2014

Weitere Informationen

• DOI: doi:10.34989/swp-2014-23
• Handle: http://hdl.handle.net/10419/103042
• Letzte Aktualisierung: 20.09.2024, 08:22 MESZ