| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8324 |
| DP8324 Liquidity shocks, roll-over risk and debt maturity | |
| Javier Suarez; Anatoli Segura | |
| 发表日期 | 2011-04-03 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We develop an infinite horizon model of an economy in which banks finance long term assets by placing non-tradable debt among savers. Banks choose the overall principal, interest rate, and maturity of their debt taking into account two opposite forces: (i) investors' preference for short maturities (which stems from their exposure to preference shocks) and (ii) banks' exposure to systemic liquidity crises (during which debt refinancing becomes specially expensive). Importantly, the terms of access to refinancing during crises depend endogenously on banks' aggregate refinancing needs. Due to pecuniary externalities, the unregulated equilibrium exhibits inefficiently short debt maturities. We analyze the possibility of restoring efficiency or improving welfare by means of limits to debt maturity, Pigovian taxes, and liquidity insurance schemes. |
| 主题 | Financial Economics |
| 关键词 | Liquidity premium Liquidity risk regulation Maturity structure Pecuniary externalities Systemic crises |
| URL | https://cepr.org/publications/dp8324 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537206 |
| 推荐引用方式 GB/T 7714 | Javier Suarez,Anatoli Segura. DP8324 Liquidity shocks, roll-over risk and debt maturity. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Javier Suarez]的文章 |
| [Anatoli Segura]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Javier Suarez]的文章 |
| [Anatoli Segura]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Javier Suarez]的文章 |
| [Anatoli Segura]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
