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Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
ECB Working Paper No. 1667
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
I study rollover risk in the wholesale funding market when intermediaries can hold liquidity ex-ante and are subject to fire sales ex-post. I demonstrate that precautionary liquidity restores multiple equilibria in a global rollover game. An intermediate liquidity level supports both the usual run equilibrium and an efficient equilibrium. I provide a uniqueness refinement to characterize the privately optimal liquidity choice. Because of fire sales, liquidity holdings are strategic substitutes. Intermediaries free-ride on the liquidity of other intermediaries, causing excessive liquidation. A macro-prudential authority internalizes the systemic nature of liquidity and restores constrained efficiency by imposing a macro-prudential liquidity buffer.
Schlagwörter: 
global games
multiplicity
portfolio choice
wholesale funding
JEL: 
G01
G11
G28
Dokumentart: 
Working Paper

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