Endogeneous Liquidity and Risk-Taking in Financial Markets

金融市场的内生流动性和风险承担

• 批准号: 318999444
• 负责人: David Pothier, Ph.D.
• 金额: --
• 依托单位: Abteilung Makroökonomie
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2016
• 资助国家: 德国
• 起止时间: 2015-12-31 至 2017-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/318999444?language=en
• 关键词: Endogeneous; Liquidity; Risk; Taking; Financial

The objective of this Research Project is to develop a theoretical model of financial markets that accounts for the joint determination of financial institutions risk-taking behaviour and liquidity conditions in secondary asset markets. From a modelling perspective, the Research Project will build on a growing literature studying how information frictions in financial markets can lead to sudden and massive disruptions in liquidity supply. The model will provide new insights into the causes and consequences of liquidity shortages in wholesale funding markets, as well as provide a theoretical framework by which to evaluate the effectiveness of government-sponsored asset purchases seeking to increase liquidity supply.

本研究项目的目的是开发一个金融市场的理论模型，该模型解释了金融机构的风险承担行为和二级资产市场的流动性状况的共同决定。从模型的角度来看，该研究项目将建立在越来越多的文献基础上，研究金融市场中的信息摩擦如何导致流动性供应的突然和大规模中断。该模型将对批发融资市场流动性短缺的原因和后果提供新的见解，并提供一个理论框架，用来评估政府支持的资产购买计划的有效性，这些资产购买计划旨在增加流动性供应。