| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14867 |
| 来源ID | Working Paper 14867 |
| Outside and Inside Liquidity | |
| Patrick Bolton; Tano Santos; Jose A. Scheinkman | |
| 发表日期 | 2009-04-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We consider a model of liquidity demand arising from a possible maturity mismatch between asset revenues and consumption. This liquidity demand can be met with either cash reserves (inside liquidity) or via asset sales for cash (outside liquidity). The question we address is, what determines the mix of inside and outside liquidity in equilibrium? An important source of inefficiency in our model is the presence of asymmetric information about asset values, which increases the longer a liquidity trade is delayed. We establish existence of an immediate-trading equilibrium, in which asset trading occurs in anticipation of a liquidity shock, and sometimes also of a delayed-trading equilibrium, in which assets are traded in response to a liquidity shock. We show that, when it exists, the delayed-trading equilibrium is Pareto superior to the immediate-trading equilibrium, despite the presence of adverse selection. However, the presence of adverse selection may inefficiently accelerate asset liquidation. We also show that the delayed-trading equilibrium features more outside liquidity than the immediate-trading equilibrium although it is supplied in the presence of adverse selection. Finally, long term contracts do not always dominate the market provision of liquidity. |
| 主题 | Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w14867 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572542 |
| 推荐引用方式 GB/T 7714 | Patrick Bolton,Tano Santos,Jose A. Scheinkman. Outside and Inside Liquidity. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14867.pdf（588KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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