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Rollover Risk, Liquidity, and Macro-Prudential Regulation

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Authors and Corporations: Ahnert, Toni (Author)
Type of Resource: E-Book
Language: English
[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
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