Endogeneous Liquidity and Risk-Taking in Financial Markets

本研究项目的目标是开发金融市场的理论模型，该模型解释了二级资产市场中金融机构冒险行为和流动性条件的共同决定。从建模的角度来看，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。该模型将为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，用于评估政府支持的、旨在增加流动性供应的资产购买的有效性。

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.