00000nam 2200000zi 4500 9.942542 CaOODSP 20240828141753 m o d f cr mn||||||||| 240828t20242024onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre FB3-5/2024-18E-PDF Cheng, Yuteng, author. Financial intermediation and fire sales with liquidity risk pricing / by Yuteng Cheng and Roberto Robatto. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (ii, 55 pages) : illustration. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-18 ISSN assigned to different series. "Last updated: May 27, 2024." Includes bibliographical references (pages 37-40). "We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. The model predictions align with some stylized facts about the large sales of corporate bonds and Treasury securities during the COVID-19 economic crisis. The equilibrium is constrained efficient under weak conditions that apply if one interprets the key agents in the model as money market funds or mutual funds. Thus, as viewed through the lens of the model, the liquidity requirements proposed by the U.S. Securities and Exchange Commission for these intermediaries could hurt the economy"--Abstract, page ii. Includes abstracts in English and French. Securities Prices Econometric models. Financial crises Econometric models. Valeurs mobilières Prix Modèles économétriques. Crises financières Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2024-18. (CaOODSP)9.806221 PDF 868 KB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-5-2024-18-eng.pdf