| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12247 |
| DP12247 Liquidity Policies and Systemic Risk | |
| Tobias Adrian; Nina Boyarchenko | |
| 发表日期 | 2017-08-25 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Bank liquidity shortages associated with the growth of wholesale-funded credit intermediation has motivated the implementation of liquidity regulations. We analyze a dynamic stochastic general equilibrium model in which liquidity and capital regulations interact with the supply of risk-free assets. In the model, the endogenously time varying tightness of liquidity and capital constraints generates intermediaries' leverage cycle, influencing the pricing of risk and the level of risk in the economy. Our analysis focuses on liquidity policies' implications for households' welfare. Within the context of our model, liquidity requirements are preferable to capital requirements, as tightening liquidity requirements lowers the likelihood of systemic distress without impairing consumption growth. In addition, we find that intermediate ranges of risk-free asset supply achieve higher welfare. |
| 主题 | Financial Economics |
| 关键词 | Liquidity regulation Systemic risk Dsge Financial intermediation |
| URL | https://cepr.org/publications/dp12247 |
| 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/541058 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Nina Boyarchenko. DP12247 Liquidity Policies and Systemic Risk. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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