| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15414 |
| 来源ID | Working Paper 15414 |
| Crises and Liquidity in Over-the-Counter Markets | |
| Ricardo Lagos; Guillaume Rocheteau; Pierre-Olivier Weill | |
| 发表日期 | 2009-10-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We study the efficiency of dealers' liquidity provision and the desirability of policy intervention in over-the-counter (OTC) markets during crises. Our theory emphasizes two key frictions in OTC markets: finding counterparties takes time, and trade is bilateral, with quantities and prices determined by bargaining. We model a crisis as a negative shock to investors' asset demands that lasts until a random recovery time. In this context, dealers can provide liquidity to outside investors by acting as counterparties in trades and by accumulating asset inventories. We find that, when frictions are severe, even well capitalized dealers may not find it optimal to accumulate inventories, given that investors choose asset positions that require small reallocations. In such circumstances, the market allocative efficiency can increase if the government steps in, purchases private assets on its own account, and resells them when the economy recovers. |
| 主题 | Microeconomics ; Game Theory ; Economics of Information ; Macroeconomics ; Money and Interest Rates ; Financial Economics |
| URL | https://www.nber.org/papers/w15414 |
| 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/573090 |
| 推荐引用方式 GB/T 7714 | Ricardo Lagos,Guillaume Rocheteau,Pierre-Olivier Weill. Crises and Liquidity in Over-the-Counter Markets. 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 | ||
| w15414.pdf（374KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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