Arbeitspapier

A tale of fire-sales and liquidity hoarding

We extend the analysis of the interbank market model of Gale and Yorulmazer (2013) by studying a larger set of trading mechanisms. A trading mechanism, which allows for randomized trading, restores efficiency. In contrast to Gale and Yorulmazer, we find that fire-sale asset prices are efficient and that no liquidity hoarding occurs in equilibrium. While Gale and Yorulmazer find that the market provides insufficient liquidity, we find that it provides too much liquidity.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 139

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Bankruptcy; Liquidation
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Thema
Fire-sales
lotteries
liquidity hoarding
interbank markets
indivisibility

Ereignis
Geistige Schöpfung
(wer)
Berentsen, Aleksander
Müller, Benjamin
Ereignis
Veröffentlichung
(wer)
University of Zurich, Department of Economics
(wo)
Zurich
(wann)
2014

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Berentsen, Aleksander
  • Müller, Benjamin
  • University of Zurich, Department of Economics

Entstanden

  • 2014

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