发帖
雷达卡
摘要翻译：
银行的资产出售和对中央银行信贷的追索权是用连续资产流动性建模的，允许导出银行的负债结构。在单位区间内，资产销售、流动性和中央银行抵押品框架都被建模为幂函数。在存款人之间的纯策略中，资金稳定性被看作是一个战略性的银行挤兑博弈。抛售、流动性和央行抵押品框架共同决定了银行体系在不危及金融稳定的情况下进行到期转换的能力。该模型还解释了为什么银行倾向于向央行使用流动性最低的合格抵押品，以及为什么突然的非预期的资产流动性减少或抵押品框架收紧会引发银行挤兑。模型还表明，除了保护中央银行的目的之外，抵押品框架还可以理解为金融稳定和非常规货币政策工具。
---
英文标题：
《Fire Sales, the LOLR and Bank Runs with Continuous Asset Liquidity》
---
作者：
Ulrich Bindseil, Edoardo Lanari
---
最新提交年份：
2020
---
分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
--
一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--
---
英文摘要：
Bank's asset fire sales and recourse to central bank credit are modelled with continuous asset liquidity, allowing to derive the liability structure of a bank. Both asset sales liquidity and the central bank collateral framework are modeled as power functions within the unit interval. Funding stability is captured as a strategic bank run game in pure strategies between depositors. Fire sale liquidity and the central bank collateral framework determine jointly the ability of the banking system to deliver maturity transformation without endangering financial stability. The model also explains why banks tend to use the least liquid eligible collateral with the central bank and why a sudden non-anticipated reduction of asset liquidity, or a tightening of the collateral framework, can trigger a bank run. The model also shows that the collateral framework can be understood, beyond its aim to protect the central bank, as financial stability and non-conventional monetary policy instrument.
---
PDF链接：
https://arxiv.org/pdf/2010.11030
京公网安备 11010802022788号
