The price of liquidity: The effects of market conditions and bank characteristics

• 成果类型: Article
• 署名作者: Fecht, Falko; Nyborg, Kjell G.; Rocholl, Joerg
• 署名单位: Swiss Finance Institute (SFI); University of Zurich
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.05.015
• 发表日期: 2011
• 页码: 344-362
• 关键词: banks; liquidity; Money markets; Repos; imbalance; Short squeezing; Financial health; Liquidity networks; State guarantees

摘要

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices depend in particular on the distribution of liquidity across banks, which is calculated over time using individual bank-level data on reserve requirements and actual holdings. Banks pay more for liquidity when positions are more imbalanced across banks, consistent with the existence of short squeezing. We also show that small banks pay more for liquidity and are more vulnerable to squeezes. Healthier banks pay less but, contrary to what one might expect, banks in formal liquidity networks do not. State guarantees reduce the price of liquidity but do not protect against squeezes. (C) 2011 Elsevier B.V. All rights reserved.