Banks, Securities Markets, and the Provision of Liquidity

银行、证券市场和流动性的提供

• 批准号: 9904986
• 负责人: Jeremy Stein
• 金额: $ 13.76万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 1999
• 资助国家: 美国
• 起止时间: 1999-07-15 至 2004-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9904986&HistoricalAwards=false
• 关键词: Banks; Securities; Markets; Provision; Liquidity

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.

该项目继续追求有关银行在经济中作用的理论和实证研究的非常有效的路线。 这项工作非常重要，因为它与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有关。 该项目提出了从根本上使银行成为银行的问题。传统的定义是，商业银行是一个同时从事两种不同活动的机构：存款和贷款。但是，为什么这两项活动一定是在一个实体的屋顶下进行的呢？基本的经济协同作用是什么？ 答案植根于同样的信用市场缺陷，在早期工作中起着关键作用。特别是，银行都是为了按需为代理提供流动性。在责任方面，他们的客户都在存款人以及资产方面的客户 - 经常通过信用额度借贷，这也是如此，这也是如此。在一个不容易在短时间内筹集外部融资的世界中，为这些客户服务的能力将打开银行以具有成本效益的方式持有高度流动资产的缓冲库存的能力。我们的基本论点是，通过同时从事存款和基于承诺的贷款，银行可以将与其证券持有率相关的任何死权成本分配到多个企业，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询问了为什么在国库债券市场定义的流动性溢价，例如，随着时间的推移，“运行”和“现金流”债券之间的价格或收益率差异或“现成”债券之间的差额。要了解流动性市场价格的差异，必须考虑等式的需求方面，这些方程是由最关心持有非常有价值证券的金融中介机构所体现的。出于上述原因，银行是这样一类中介机构的一个明显例子，但是开放式的共同基金也是如此，他们面临大型且不可预测的赎回，因此出于类似的原因也必须持有流动资产。该项目的长期目标是建立和经验测试基于公司的此类中介机构的模型，这些模型可以说明流动性的一般均衡价格的整个时间变化问题。