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
Englisch

Erschienen in
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 2 ; Pages: 291-324 ; New Haven, CT: The Econometric Society

Klassifikation
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
Interbank market
fire sale
market freeze
cash-in-the-market pricing

Ereignis
Geistige Schöpfung
(wer)
Gale, Douglas
Yorulmazer, Tanju
Ereignis
Veröffentlichung
(wer)
The Econometric Society
(wo)
New Haven, CT
(wann)
2013

DOI
doi:10.3982/TE1064
Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

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Objekttyp

  • Artikel

Beteiligte

  • Gale, Douglas
  • Yorulmazer, Tanju
  • The Econometric Society

Entstanden

  • 2013

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