DEGREASING THE WHEELS OF FINANCE

• 成果类型: Article
• 署名作者: Berentsen, Aleksander; Huber, Samuel; Marchesiani, Alessandro
• 署名单位: University of Basel; Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Universidade do Minho
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12069
• 发表日期: 2014
• 页码: 735-763
• 关键词: Asset markets; monetary-economics; societal benefits; illiquid bonds; sudden stops; liquidity; money; search; prices; POLICY

摘要

Can there be too much trading in financial markets? We construct a dynamic general equilibrium model, where agents face idiosyncratic liquidity shocks. A financial market allows agents to adjust their portfolio of liquid and illiquid assets in response to these shocks. The optimal policy is to restrict access to this market because portfolio choices exhibit a pecuniary externality: Agents do not take into account that by holding more of the liquid asset, they not only acquire additional insurance against these liquidity shocks, but also marginally increase the value of the liquid asset, which improves insurance for other market participants.