Crisis Management in Canada: Analyzing Default Risk and Liquidity Demand during Financial Stress

• 成果类型: Article
• 署名作者: Allen, Jason; Hortacsu, Ali; Kastl, Jakub
• 署名单位: Bank of Canada; University of Chicago; National Bureau of Economic Research; Princeton University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20160287
• 发表日期: 2021
• 页码: 243-275
• 关键词: divisible good auctions; empirical-analysis; MARKET

摘要

Using detailed information from the Canadian interbank payments system and liquidity-providing facilities, we find that despite sustained increases in market-rate spreads, the increase in banks' willingness to pay for liquidity during the 2008-2009 financial crisis was short-lived. Our study suggests that high-frequency distress indicators based on demand for liquidity offered by central banks can be complementary, and perhaps even superior, to market-based indicators, especially during times and in markets where uncertainty in the economic environment may lead to lack of meaningful information in prices due to absence of trading.