Imperfect Competition in the Interbank Market for Liquidity as a Rationale for Central Banking

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Gromb, Denis; Yorulmazer, Tanju
• 署名单位: New York University; National Bureau of Economic Research; INSEAD Business School; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.4.2.184
• 发表日期: 2012
• 页码: 184-217
• 关键词: private; crises; EFFICIENCY; contagion; RISK

摘要

We study interbank lending and asset sales markets in which banks with surplus liquidity have market power vis-a-vis banks needing liquidity, frictions arise in lending due to moral hazard, and assets are bank-specific. Surplus banks ration lending and instead purchase assets from needy banks, an inefficiency more acute during financial crises. A central bank acting as a lender-of-last-resort can ameliorate this inefficiency provided it is prepared to extend potentially loss-making loans or is better informed than outside markets, as might be the case if it also performs a supervisory role. This rationale for central banking finds support in historical episodes. (JEL E58, G01, G21, G28, L13, N21)