Self- Fulfilling Liquidity Dry- Ups

• 成果类型: Article
• 署名作者: Malherbe, Frederic
• 署名单位: University of London; London Business School
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12063
• 发表日期: 2014
• 页码: 947-970
• 关键词: ASSET SALES; adverse selection; market liquidity; global games; loan sales; equilibrium; MODEL; securities; debt

摘要

I analyze a model in which holding cash imposes a negative externality: it worsens future adverse selection in markets for long-term assets, which impairs their role for liquidity provision. Adverse selection worsens when potential sellers of long-term assets hold more cash because then fewer sales reflect cash needs, and proportionally more sales reflect private information. Moreover, future market illiquidity makes current cash holding more appealing. This feedback effect may result in hoarding behavior and a market breakdown, which I interpret as a self-fulfilling liquidity dry-up. This mechanism suggests that imposing liquidity requirements on financial institutions may backfire.