Rehypothecation and liquidity
Rehypothecation and liquidity
复制标题
再抵押和流动性
DOI：
10.1016/j.euroecorev.2017.09.010
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发表时间：
2017
影响因子：
2.8
通讯作者：
Andolfatto D
中科院分区：
文献类型：
--
作者：
Andolfatto D
我们开发了一个动态一般均衡货币模型，其中抵押品短缺和市场不完整会刺激信用关系的形成和资产的再抵押。再抵押改善了资源配置，因为它允许流动性流向最需要的地方。与再抵押相关的流动性收益在高通胀（高利率）制度中显得更为重要。事实证明，限制这种做法的法规根据其设计方式会产生截然不同的后果。根据《多德-弗兰克法案》的规定，将抵押品分配给独立账户通常会降低福利。相比之下，SEC15c3-3 类型的监管可以通过其赋予现金持有量的监管溢价来改善福利，而当利率和通货膨胀较高时，现金持有量的监管溢价很低，效率很低。
We develop a dynamic general equilibrium monetary model where a shortage of collateral and incomplete markets motivate the formation of credit relationships and the rehypothecation of assets. Rehypothecation improves resource allocation because it permits liquidity to flow where it is most needed. The liquidity benefits associated with rehypothecation are shown to be more important in high-inflation (high-interest rate) regimes. Regulations restricting the practice are shown to have very different consequences depending on how they are designed. Assigning collateral to segregated accounts, as prescribed in the Dodd–Frank Act, is generally welfare-reducing. In contrast, an SEC15c3-3 type regulation can improve welfare through the regulatory premium it confers on cash holdings, which are inefficiently low when interest rates and inflation are high.