A MODEL OF FINANCIAL MARKET LIQUIDITY BASED ON INTERMEDIARY CAPITAL

• 成果类型: Article; Proceedings Paper
• 署名作者: Gromb, Denis; Vayanos, Dimitri
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2010.tb00516.x
• 发表日期: 2010
• 页码: 456-466
• 关键词: constraints

摘要

We present a model of financial market liquidity provided by financially constrained intermediaries. We show that market liquidity increases with the level of intermediary capital. We also characterize conditions under which intermediaries play a stabilizing or destabilizing role in markets. Finally, we sketch a number of areas, including welfare and public policy, on which the model can shed light. (JEL: G01, G11, G12, G15, G18)