Market Liquidity and Funding Liquidity

• 成果类型: Article
• 署名作者: Brunnermeier, Markus K.; Pedersen, Lasse Heje
• 署名单位: Princeton University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Princeton University; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn098
• 发表日期: 2009
• 页码: 2201
• 关键词: Bank runs; RISK; STOCK; leverage; equilibrium; COMMONALITY; prices; ask

摘要

We provide a model that links an asset's market liquidity (i.e., the ease with which it is traded) and traders' funding liquidity (i.e., the ease with which they can obtain funding). Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely, traders' funding, i.e., their capital and margin requirements, depends on the assets' market liquidity. We show that, under certain conditions, margins are destabilizing and market liquidity and funding liquidity are mutually reinforcing, leading to liquidity spirals. The model explains the empirically documented features that market liquidity (i) can suddenly dry up, (ii) has commonality across securities, (iii) is related to volatility, (iv) is subject to flight to quality, and (v) co-moves with the market. The model provides new testable predictions, including that speculators' capital is a driver of market liquidity and risk premiums.