| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17500 |
| 来源ID | Working Paper 17500 |
| Liquidity and the Threat of Fraudulent Assets | |
| Yiting Li; Guillaume Rocheteau; Pierre-Olivier Weill | |
| 发表日期 | 2011-10-13 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold, or posted as collateral in the OTC market. Each endogenous, asset-specific, resalability constraint depends on the vulnerability of the asset to fraud, on the frequency of trade, and on the current and future prices of the asset. In equilibrium, the set of assets can be partitioned into three liquidity tiers, which differ in their resalability, their prices, their sensitivity to shocks, and their responses to policy interventions. The dependence of an asset's resalability on its price creates a pecuniary externality, which leads to the result that some policies commonly thought to improve liquidity can be welfare reducing. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17500 |
| 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/575175 |
| 推荐引用方式 GB/T 7714 | Yiting Li,Guillaume Rocheteau,Pierre-Olivier Weill. Liquidity and the Threat of Fraudulent Assets. 2011. |
| 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 | ||
| w17500.pdf（507KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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