Banks, Securities Markets, and the Provision of Liquidity

该项目继续对银行在经济中的作用进行富有成效的理论和实证研究。 这项工作非常重要，因为它关系到货币和中央银行政策，银行和金融监管，以及试图维持金融体系稳定的工作。 该项目提出了一个问题，即是什么从根本上使银行成为一家银行。传统的定义是，商业银行是同时从事两种不同活动的机构：吸收存款和发放贷款。但是，为什么这两项活动必须在一个实体的屋顶下进行？潜在的经济协同效应是什么？ 这个问题的答案源于信贷市场的不完善性，这在早期的研究中起到了关键作用。特别是，银行都是按需向代理人提供流动性。这对负债方的客户（存款人）和资产方的客户都是如此，这些客户通常通过信用额度借款，而信用额度也可以在需要时取消。在一个不容易在短时间内筹集外部资金的世界里，为这类客户提供服务的能力将取决于银行以具有成本效益的方式持有高流动性资产缓冲库存的能力。我们的基本论点是，通过同时从事存款吸收和基于承诺的贷款，银行可以将与其证券持有相关的任何无谓成本分散到多个业务中，因此可以成为更有效的流动性提供者。 另一个涉及类似主题的项目问，为什么美国国债市场的流动性溢价是由市场定义的，例如，因为具有相同现金流的“运行中”和“非运行中”债券之间的价格或收益率的差异随着时间的推移而变化得相当显著。要了解流动性市场价格的变化，我们必须关注等式的需求方，即那些最关心持有非常适销证券的金融中介机构。出于上述原因，银行是这类中介的一个明显例子，但开放式共同基金也是如此，它们面临着大量不可预测的赎回，因此也必须出于类似的原因持有流动资产。该项目的长期目标是建立和实证测试基于公司融资的模型，这些模型可以说明流动性一般均衡价格的时间变化的整个问题。

This project continues to pursue a very productive line of theoretical and empirical research on the role of banks in the economy. This work is extremely important, as it is relevant for monetary and central banking policy, for banking and financial regulation, and for work that attempts to maintain the stability of the financial system. The project takes up the question what fundamentally makes a bank a bank. The traditional definition is that a commercial bank is an institution that simultaneously engages in two distinct activities: deposit-taking and lending. But why are these two activities necessarily conducted under the roof of a single entity? What is the underlying economic synergy? The answer is rooted in the same sort of credit-market imperfections that play a key role in the earlier work. In particular, banks are all about providing liquidity to agents on demand. This is true of both their customers on the liability side-their depositors-as well as their customers on the asset side-who are often borrowing via credit lines that can also be taken down on demand. In a world where external finance is not easily raised on short notice, the capacity to service these kinds of customers will turn on the bank's ability to hold a buffer stock of highly liquid assets in a cost-effective fashion. Our basic argument is that by engaging in both deposit-taking and commitment-based lending at the same time, a bank can spread any deadweight costs associated with its securities holdings over multiple businesses, and can thus be a more efficient provider of liquidity. Another project that involves a similar theme asks why liquidity premia in the Treasury bond market-defined, e.g., as the difference in price or yield between "on-the-run" and "off-the-run" bonds with the same cashflows-vary quite dramatically over time. To understand variations in the market price of liquidity, one has to look to the demand side of the equation, which is embodied by those financial intermediaries who are most concerned with holding very marketable securities. Banks are one obvious example of such a class of intermediary, for the reasons outlined above, but so are open-ended mutual funds, who face large and unpredictable redemptions and hence must also hold liquid assets for similar reasons. The project's long-run goal is to build and empirically test corporate-finance-based models of such intermediaries that can speak to the whole issue of time-variation in the general equilibrium price of liquidity.