Optimal pricing of intraday liquidity

• 成果类型: Article
• 署名作者: Martin, A
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Kansas City
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2003.07.007
• 发表日期: 2004
• 页码: 401-424
• 关键词: Liquidity provision; intraday interest rate; moral hazard

摘要

This paper presents a general equilibrium model where intraday liquidity is needed because the timing of payments is uncertain. A necessary and sufficient condition for an equilibrium to be efficient is that the nominal intraday interest rate be zero, even when the overnight rate is strictly positive. Because a market for liquidity may not achieve efficiency, this creates a role for the central bank. I allow for the possibility of moral hazard and study policies commonly used by central banks to reduce their exposure to risk. I show collateralized lending achieves the efficient allocation, while, for certain parameters, caps cannot prevent moral hazard. (C) 2003 Elsevier B.V. All rights reserved.