Financial intermediation and fire sales with liquidity risk pricing / by Yuteng Cheng and Roberto Robatto.: FB3-5/2024-18E-PDF
"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.
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| Department/Agency | Bank of Canada, issuing body. |
|---|---|
| Title | Financial intermediation and fire sales with liquidity risk pricing / by Yuteng Cheng and Roberto Robatto. |
| Series title | Staff working paper = Document de travail du personnel, 1701-9397 ; 2024-18 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | ISSN assigned to different series. "Last updated: May 27, 2024." Includes bibliographical references (pages 37-40). Includes abstracts in English and French. |
| Publishing information | [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 |
| Author / Contributor | Cheng, Yuteng, author. |
| Description | 1 online resource (ii, 55 pages) : illustration. |
| Catalogue number |
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| Subject terms | Securities -- Prices -- Econometric models. Financial crises -- Econometric models. Valeurs mobilières -- Prix -- Modèles économétriques. Crises financières -- Modèles économétriques. |
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