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Séminaire CREAM-Jung-Hyun AHN (NEOMA)

Résumé: 

Nous invitons le jeudi 7 novembre de 12h30 à 13h30 en salle C322, Jung-Hyun AHN (NEOMA) qui nous présentera son article intitulé : "Bank Liquidity Management, Collateral Quality and Policies » (co-écrit avec V. Bignon, R. Breton et A. Martin).

Résumé de l'article : 

“We develop a model in which the dispersion of return on securities used as collateral to obtain liquidity plays an important role in decision on the amount of cash holding by financial intermediaries (banks). They hold near-cash assets and/or marketable securities to protect themselves from shocks. Depending on dispersions of return on securities, banks may choose to hold too much or too little cash on aggregate compared to the socially optimal amount. The model, therefore, provides a unified framework for thinking, on the one hand, about policy measures that can reduce hoarding of cash by banks and, on the other hand, about liquidity requirements of the type imposed by the new Basel III regulation. Key to our results is a market in which banks can obtain cash by selling or repoing their marketable securities.  The quantity of cash obtained on this market is determined endogenously by the market value of the marketable securities and is subject to cash-in-the-market pricing.  When uncertainty about the value of marketable securities is low, banks hold too little cash and liquidity regulation can achieve a better allocation. When uncertainly about the value of marketable securities is sufficiently high, banks hoard cash leading to a market freeze.”

Catégorie: 
Date de début: 
Jeudi 7 novembre 2019 - 12:30
Date de fin: 
Jeudi 7 novembre 2019 - 13:30