Artikel
Liquidity hoarding
Banks hold liquid and illiquid assets. An illiquid bank that receives a liquidity shock sells assets to liquid banks in exchange for cash. We characterize the constrained efficient allocation as the solution to a planner's problem and show that the market equilibrium is constrained inefficient, with too little liquidity and inefficient hoarding. Our model features a precautionary as well as a speculative motive for hoarding liquidity, but the inefficiency of liquidity provision can be traced to the incompleteness of markets (due to private information) and the increased price volatility that results from trading assets for cash.
- Sprache
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Englisch
- Erschienen in
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Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 2 ; Pages: 291-324 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Investment Banking; Venture Capital; Brokerage; Ratings and Ratings Agencies
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Bankruptcy; Liquidation
- Thema
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Interbank market
fire sale
market freeze
cash-in-the-market pricing
- Ereignis
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Geistige Schöpfung
- (wer)
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Gale, Douglas
Yorulmazer, Tanju
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
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New Haven, CT
- (wann)
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2013
- DOI
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doi:10.3982/TE1064
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Gale, Douglas
- Yorulmazer, Tanju
- The Econometric Society
Entstanden
- 2013