流动性创造效率低下

IF 3.1 1区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Intermediation Pub Date : 2023-01-01 DOI:10.1016/j.jfi.2022.100996

Stephan Luck , Paul Schempp

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引用次数: 0

摘要

我们提出了一个模型，中介机构通过发行安全债券来创造流动性。出现了两种类型的中介机构：传统银行通过发行股票和持有到期资产来创造流动性，市场中介机构通过在经济低迷时期出售资产来创造流通性。我们表明，对基于市场的中介的依赖程度必然过高，但创造流动性却并非如此。它也可能过低，因为内生的抛售风险会将流动性创造推至最佳水平以下。我们认为，标准资本或流动性监管是无效的，而最佳宏观审慎监管应该以市场中介为目标。

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Inefficient liquidity creation

We present a model in which intermediaries create liquidity by issuing safe debt. Two types of intermediaries emerge: Traditional banks that create liquidity by issuing equity and holding assets to maturity, and market-based intermediaries that create liquidity by selling assets in fire sales in downturns. We show that the reliance on market-based intermediation is necessarily too high, but liquidity creation is not. It can also be too low as the endogenous fire-sale risk can push liquidity creation below its optimum. We argue that standard capital or liquidity regulation are ineffective, and optimal macroprudential regulation should instead target market-based intermediation.

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来源期刊

Journal of Financial Intermediation BUSINESS, FINANCE-

CiteScore

8.60

自引率

7.70%

发文量

期刊介绍： The Journal of Financial Intermediation seeks to publish research in the broad areas of financial intermediation, financial market structure, corporate finance, risk management, and valuation.