Liquidity risk, market power and the informational effects of policy

• 成果类型: Article
• 署名作者: Claeys, Gregory; Papioti, Chara; Tryphonides, Andreas
• 署名单位: Pompeu Fabra University; Barcelona School of Economics; University of Cyprus
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2023.103732
• 发表日期: 2023
• 关键词: Multi-unit auction; liquidity risk; Signalling effects of macroeconomic policy

摘要

Using a structural approach, we combine bidding data from open market operations with macroeconomic information to recover the latent distribution of liquidity risk across financial institutions in Chile and how it is affected by policy. We find that unanticipated shocks to foreign reserve accumulation and interest rates have significant effects on aggregate beliefs about a liquidity shock in the near future. We demonstrate that accounting for market power is important for measuring the strength of this informational channel of macroeconomic policy. (c) 2023 Elsevier B.V. All rights reserved.