Interbank market liquidity and central bank intervention

• 成果类型: Article; Proceedings Paper
• 署名作者: Allen, Franklin; Carletti, Elena; Gale, Douglas
• 署名单位: University of Pennsylvania; European University Institute; New York University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.04.003
• 发表日期: 2009
• 页码: 639-652
• 关键词: Open market operations; constrained efficiency

摘要

We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. in such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand. (C) 2009 Elsevier B.V. All rights reserved.