Liquidity policies with opacity

IF 2.9 3区 经济学 Q1 ECONOMICS
Koji Asano
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Abstract

We examine liquidity policies in an environment in which banks can cover their liquidity needs by hoarding liquidity or selling long-term assets to expert investors. Investors can acquire costly information regarding asset quality and deprive banks with bad assets from accessing the asset market. To prevent expert scrutiny, banks must accept fire sale prices for their assets. These depressed prices induce banks to hoard inefficiently low (high) amounts of liquidity when the likelihood of a liquidity shock is relatively low (high). We show that policy interventions aimed at maintaining opacity in the asset market encourage (discourage) liquidity hoarding when there is underhoarding (overhoarding) of liquidity. This suggests that ex-post interventions can serve as substitutes for ex-ante liquidity regulations.

不透明的流动性政策
在银行可以通过囤积流动性或向专家投资者出售长期资产来满足流动性需求的环境下,我们研究了流动性政策。投资者可以获得有关资产质量的高成本信息,并使拥有不良资产的银行无法进入资产市场。为了防止专家审查,银行必须接受资产的火卖价格。当流动性冲击的可能性相对较低(较高)时,这些被压低的价格会诱使银行囤积低(高)效率的流动性。我们的研究表明,当流动性囤积不足(囤积过多)时,旨在维持资产市场不透明的政策干预措施会鼓励(抑制)流动性囤积。这表明,事后干预可以替代事前的流动性监管。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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