Liquidity requirements and the interbank loan market: An experimental investigation

• 成果类型: Article
• 署名作者: Davis, Douglas D.; Korenok, Oleg; Lightle, John P.; Prescott, Edward S.
• 署名单位: Virginia Commonwealth University; Federal Reserve System - USA; Federal Reserve Bank - Cleveland
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.05.006
• 发表日期: 2020
• 页码: 113-126
• 关键词: interbank market; Liquidity regulation; Market experiments

摘要

We develop a stylized interbank market environment and use it to evaluate with experimental methods the effects of liquidity requirements. Baseline and liquidity-regulated regimes are analyzed in a simple shock environment, which features a single idiosyncratic shock, and in a compound shock environment, in which the idiosyncratic shock is followed by a randomly occurring second-stage shock. Interbank trading of the illiquid asset follows each shock. In the simple shock environment, we find that liquidity regulations reduce the incidence of bankruptcies, but at a large loss of investment efficiency. In the compound shock environment, liquidity regulations not only impose a loss of investment efficiency but also fail to reduce bankruptcies. (c) 2019 Elsevier B.V. All rights reserved.