Fragility of Safe Asset Markets

• 成果类型: Article; Early Access
• 署名作者: Eisenbach, Thomas M.; Phelan, Gregory
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Williams College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf064
• 发表日期: 2025
• 关键词: LIQUIDITY PREMIUM; financial intermediation; demand; MODEL; flight; equilibrium; INFORMATION; STABILITY; BEHAVIOR; PRIVATE

摘要

In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can form a symbiotic relationship with offsetting trades during times of stress, strategic interactions among liquidity investors harbor the potential for self-fulfilling fragility. When the market is fragile, standard flight-to-safety can have a destabilizing effect and trigger a dash-for-cash by liquidity investors. Well-designed policy interventions can reduce market fragility ex ante and restore orderly functioning ex post.