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:
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Objekttyp
- Arbeitspapier
Beteiligte
- Berentsen, Aleksander
- Müller, Benjamin
- University of Zurich, Department of Economics
Entstanden
- 2014
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