Interbank market liquidity and central bank intervention

被引：161
|
作者：
Allen, Franklin [1 ]
Carletti, Elena [2 ]
Gale, Douglas [3 ]
机构：
[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
[2] European Univ Inst, Florence, Italy
[3] NYU, New York, NY 10003 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2009年 / 56卷 / 05期
基金：
美国国家科学基金会;
关键词：
Open market operations; Constrained efficiency; CONTAGION; CRISES;
D O I：
10.1016/j.jmoneco.2009.04.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We develop a simple model of the interbank market where banks trade a long term, safe asset. When there is a lack of opportunities for banks to hedge idiosyncratic and aggregate liquidity shocks, the interbank market is characterized by excessive price volatility. in such a situation, a central bank can implement the constrained efficient allocation by using open market operations to fix the short term interest rate. It can be constrained efficient for banks to hoard liquidity and stop trading with each other if there is sufficient uncertainty about aggregate liquidity demand compared to idiosyncratic liquidity demand. (C) 2009 Elsevier B.V. All rights reserved.
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页码：639 / 652
页数：14
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