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Rollover Risk, Liquidity, and Macro-Prudential Regulation
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| Type of Resource: | E-Book |
|---|---|
| Language: | English |
| published: |
[S.l.]
SSRN
[2014]
|
| Series: |
ECB Working Paper |
| Source: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Summary: | I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to fire sales ex-post. I demonstrate that 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 macro-prudential authority internalizes the systemic nature of liquidity and restores constrained efficiency by imposing a macro-prudential liquidity buffer |
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| Item Description: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 31, 2014 erstellt |
| Physical Description: | 1 Online-Ressource (48 p) |
| DOI: | 10.2139/ssrn.2418234 |
| Access: | Open Access |