OUTSIDE AND INSIDE LIQUIDITY

• 成果类型: Article
• 署名作者: Bolton, Patrick; Santos, Tano; Scheinkman, Jose A.
• 署名单位: Columbia University; Princeton University; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjq007
• 发表日期: 2011
• 页码: 259-321
• 关键词: systemic risk; MARKET

摘要

We propose an origination-and-contingent-distribution model of banking, in which liquidity demand by short-term investors (banks) can be met with cash reserves (inside liquidity) or sales of assets (outside liquidity) to long-term investors (hedge funds and pension funds). Outside liquidity is a more efficient source, but asymmetric information about asset quality can introduce a friction in the form of excessively early asset trading in anticipation of a liquidity shock, excessively high cash reserves, and too little origination of assets by banks. The model captures key elements of the financial crisis and yields novel policy prescriptions. JEL Codes: G01, G2, G21.