Market liquidity, asset prices and welfare:
"This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Mor...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2008
|
| Series: | Working paper series / National Bureau of Economic Research
14058 |
| Online Access: | Volltext |
| Summary: | "This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity, which calls for potential policy interventions. However, we demonstrate that different policy tools can yield different efficiency consequences. For example, lowering the cost of supplying liquidity on the spot (e.g., through direct injection of liquidity or relaxation of ex post margin constraints) can decrease welfare while forcing more liquidity supply (e.g., through coordination of market participants) can improve welfare"--National Bureau of Economic Research web site |
| Physical Description: | 41 S. graph. Darst. 22 cm |
Staff View
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| id | DE-604.BV023593941 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:32Z |
| indexdate | 2024-07-09T21:25:16Z |
| institution | BVB |
| language | English |
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| physical | 41 S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Huang, Jennifer 1973- Verfasser (DE-588)132419009 aut Market liquidity, asset prices and welfare Jennifer Huang ; Jiang Wang Cambridge, Mass. National Bureau of Economic Research 2008 41 S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 14058 "This paper presents an equilibrium model for the demand and supply of liquidity and its impact on asset prices and welfare. We show that when constant market presence is costly, purely idiosyncratic shocks lead to endogenous demand of liquidity and large price deviations from fundamentals. Moreover, market forces fail to lead to efficient supply of liquidity, which calls for potential policy interventions. However, we demonstrate that different policy tools can yield different efficiency consequences. For example, lowering the cost of supplying liquidity on the spot (e.g., through direct injection of liquidity or relaxation of ex post margin constraints) can decrease welfare while forcing more liquidity supply (e.g., through coordination of market participants) can improve welfare"--National Bureau of Economic Research web site Wang, Jiang 1959- Verfasser (DE-588)128650338 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 14058 (DE-604)BV002801238 14058 http://papers.nber.org/papers/w14058.pdf kostenfrei Volltext |
| spellingShingle | Huang, Jennifer 1973- Wang, Jiang 1959- Market liquidity, asset prices and welfare |
| title | Market liquidity, asset prices and welfare |
| title_auth | Market liquidity, asset prices and welfare |
| title_exact_search | Market liquidity, asset prices and welfare |
| title_exact_search_txtP | Market liquidity, asset prices and welfare |
| title_full | Market liquidity, asset prices and welfare Jennifer Huang ; Jiang Wang |
| title_fullStr | Market liquidity, asset prices and welfare Jennifer Huang ; Jiang Wang |
| title_full_unstemmed | Market liquidity, asset prices and welfare Jennifer Huang ; Jiang Wang |
| title_short | Market liquidity, asset prices and welfare |
| title_sort | market liquidity asset prices and welfare |
| url | http://papers.nber.org/papers/w14058.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT huangjennifer marketliquidityassetpricesandwelfare AT wangjiang marketliquidityassetpricesandwelfare |