Добірка наукової літератури з теми "Friction de liquidité"

We endogenize asset liquidity and financing constraints in a dynamic general equilibrium model with search frictions on capital markets. Assets traded on frictional capital markets are only partially saleable. Liquid assets, such as fiat money, instead, are not subject to search frictions and can be used to insure idiosyncratic investment risks. Partially saleable assets thus carry a liquidity premium over fully liquid assets. We show that, in equilibrium, low asset saleability is typically associated with lower asset prices, tighter financing constraints, thus stronger demand for public liquidity. Lower asset liquidity feeds into real allocations, constraining real investment, consumption, and production.

AbstractWe examine the impact of block ownership on the firm’s trading activity and secondary-market liquidity. Our empirical results show that block ownership takes potential trading activity off the table relative to a diffuse ownership structure and impairs the firm’s market liquidity. These adverse liquidity effects disappear, however, once we control for trading activity. Our findings suggest that block ownership is detrimental to the firm’s market liquidity because of its adverse impact on trading activity—a real friction effect. After controlling for this real friction effect, we find little evidence that block ownership has a negative impact on informational friction. Our results suggest that the relative lack of trading, and not the threat of informed trading, explains the inverse relation between block ownership and market liquidity.

This paper models the liquidity effects after a contractionary open market operation in a framework that highlights the frictions of limited participation in financial markets and search frictions in labor markets. It is shown that Lucas rigidities, with the aid of labor market rigidities, could generate more persistent liquidity effects even in a context of flexible prices. In addition, the simulation results show that this adapted liquidity and labor search model does a reasonable good job in explaining the observed labor market dynamics in response to shocks of a plausible magnitude, and deliver substantial movements along a downward-sloping Beveridge curve.

In this paper, we study the positive and normative implications of financial shocks in a standard New Keynesian model that includes banks and frictions in the market for bank capital. We show how such frictions influence materially the effects of bank liquidity shocks and the properties of optimal policy. In particular, they limit the scope for countercyclical monetary policy in the face of these shocks. A fiscal policy instrument can complement monetary policy by offsetting the balance-sheet effects of these shocks, and jointly optimal policies attain the same equilibrium that monetary policy (alone) could attain in the absence of equity-market frictions.

We show that the financial accelerator may be very large in a liquidity trap. We study a sticky price model with real estate and a financial friction specified as a collateral constraint. Expectations can lead the economy to a self-fulfilling liquidity trap equilibrium where the lower bound on the nominal interest rate binds. We model these equilibria as stochastic sunspots. As in the Great Depression, a liquidity trap entails house price depreciation and potentially large output losses. Higher leverage implies much larger output losses but at the same time rules out the existence of short-lived liquidity traps.

Abstract This study examines the liquidity dynamics of banks in emerging market economies. Using annual data of 91 commercial banks from 11 countries, the study established that banks in emerging markets have target liquidity ratios they pursue and partially adjust due to market frictions. Overall, risk aversion and prudence play a significant role in explaining the liquidity dynamics by banks in emerging market economies.

Trading frictions in financial markets affect more long-term than short-term bonds, generating an upward-sloping yield curve. Long-term financing is more expensive in economies with higher trading frictions so firms choose to borrow and invest in shorter horizons and lower productivity projects. The theory guides a new identification of the slope of liquidity spread in the data. We measure and calibrate the model for the United States, and counterfactual exercises suggest that variations in trading frictions can have significant effects on maturity choices and investment. A policy intervention improves liquidity, reduces long-term financial costs, and promotes investment in longer-term projects. (JEL E43, E44, E52, G12, G21, G32, O16)

L'objectif principal de ma thèse est de comprendre les obstacles à la liquidité dans la finance de marché. Comprendre ce nouveau paradigme du système financier est important car il réalise une part croissante de la transformation de la maturité. Alors que les régulateurs des banques traditionnelles peuvent s'appuyer sur un vaste corpus d'études scientifiques, notre compréhension des banques parallèles et des autres institutions financières manque d'un fondement académique aussi complet. Dans le premier chapitre, j'étudie comment et quand la transparence peut être désavantageuse compte tenu de plusieurs contreparties (symétriques). De nombreux marchés de prêts garantis sont opaques, ce qui permet potentiellement aux emprunteurs de dissimuler plusieurs relations d'emprunt. Le débat politique a proposé la transparence pour limiter les risques cachés. Dans cet article, je montre que la transparence peut avoir l'effet inverse en raison d'un rationnement accru du crédit dans le cadre d'emprunts multiples. Dans un marché transparent, un prêteur opportuniste peut facilement se coordonner avec l'emprunteur aux dépens d'un prêteur préexistant. Cela devient plus difficile dans un marché opaque, car un prêteur opportuniste peut plus facilement se retrouver victime d'un mouvement opportuniste différent de l'emprunteur. Les prêteurs sont donc plus prudents dans un marché opaque. Cela peut restaurer la deuxième meilleure allocation. Je montre que le surdimensionnement joue un rôle clé dans ce mécanisme car il limite la capacité de l'emprunteur à augmenter son effet de levier de manière opportuniste. Enfin, je fournis une caractérisation claire du moment où l'opacité atteint des allocations qui dominent celles qui peuvent être réalisées dans le cadre de la transparence du marché en termes de bien-être.Dans mon deuxième chapitre, j'étudie comment certains prêteurs se protègent contre la malédiction du gagnant sur le marché du repo. Les teneurs de marché financent leurs stocks par le biais d'accords de rachat, en utilisant des titres de stocks comme garantie. Ils font face à une variété de contreparties plus ou moins sophistiquées quant à leur capacité à évaluer les titres. Théoriquement, les contreparties moins sophistiquées devraient craindre la malédiction du gagnant de recevoir de moins bonnes garanties. Dans mon modèle, un teneur de marché cherche un prêteur plus sophistiqué pour financer de meilleures garanties à des taux plus bas. Le prêteur moins sophistiqué ne peut pas observer le comportement du teneur de marché et facture des taux d'intérêt plus élevés pour compenser. Je teste la prédiction de mon modèle et trouve un support pour une compensation qui est plus élevée pour les teneurs de marché avec un plus grand nombre de contacts avec des prêteurs sophistiqués. L'augmentation de l'incertitude pendant la pandémie de Covid-19 sert de variation exogène de l'avantage informationnel des prêteurs plus sophistiqués.Mes travaux suggèrent que l'opacité exacerbe la fragilité des emprunteurs bien connectés.Dans mon troisième chapitre, j'étudie comment les contraintes de capital peuvent retarder les transactions bilatérales. Après la crise financière, de nombreux praticiens des obligations d'entreprises ont déploré le mauvais état de la liquidité, tandis que la recherche universitaire a brossé un tableau peu concluant. Motivé par cette tension, je trouve théoriquement que la rareté des capitaux et les restrictions à ne négocier que sur les transactions au comptant peuvent retarder les transactions. La restriction du commerce au comptant implique une incomplétude du marché dans laquelle les agents doivent échanger des lots de créances. En cas de pénurie, l'acheteur s'inquiète du capital gaspillé sur des créances sans gains commerciaux. L'attente peut dégrouper les réclamations. Par conséquent, je soutiens que la rareté des capitaux après la crise financière peut expliquer des transactions plus petites et des retards commerciaux
The overarching goal of my thesis is to understand barriers to liqudity in market-based finance. Understanding this new financial system paradigm is important because it performs an increasing share of the maturity transformation. While regulators of traditional banks can rely on an extensive body of scientific studies, our understanding of shadow banks and other financial institutions lacks such a complete academic underpinning. My thesis collects insights on collateralized lending, repo markets and liqudity in corporate bond markets.In the first chapter, I study how and when transparency can be disadvantageous given multiple (symmetric) counterparties. Many secured lending markets are opaque, allowing borrowers potentially to conceal multiple borrowing relationships. The policy debate has proposed transparency to curtail hidden risk. In this paper, I show that transparency may backfire due to increased credit rationing under multiple borrowing. In a transparent market, an opportunistic lender can easily coordinate with the borrower at the expense of a pre-existing lender. This becomes more difficult in an opaque market, as an opportunistic lender may more easily find himself at the receiving end of a different opportunistic move by the borrower. Lenders are therefore more cautious in an opaque market. This can restore the second-best allocation. I show that over-collateralization plays a key role in this mechanism as it constrains the borrower's ability to increase leverage opportunistically. Finally, I provide a clear characterization of when opacity achieves allocations that dominate those that can be achieved under market transparency in terms of welfare. In my second chapter, I study how some lenders protect against a winner's curse in the repo market. Market-makers finance their inventories through repurchase agreements, using inventory securities as collateral. They face a variety of counterparties of varying degrees of sophistication regarding their ability to value the securities. Theoretically, less sophisticated counterparties should fear the winner's curse of receiving worse collateral. In my model, a market-maker seeks a more sophisticated lender to finance better collateral at lower rates. The less sophisticated lender cannot observe the market-maker's behaviour and charges higher interest rates to compensate. I test my model prediction and find support for a compensation that is higher for market-makers with a higher number of sophisticated lender contacts. The increase in uncertainty during the Covid-19 pandemic serves as an exogenous variation in the informational advantage of more sophisticated lenders.My work suggests that opacity exacerbates fragility for well-connected borrowers, as less sophisticated lenders charge higher rates to compensate for the possibility of hidden cherry-picking.In my third chapter, titled "Dynamic Liquidity Provision for Corporate Bonds under Capital Constraints", I study how capital constraints can delay bilateral trades. After the financial crisis, many corporate bond practitioners lamented the poor state of market liquidity for large corporate bond trades, while academic research painted an inconclusive picture of liquidity conditions. Motivated by this tension, I find theoretically that scarce capital and restrictions to only bargain on spot trades can delay trades. The spot trade restriction implies a market incompleteness under which agents must trade bundles of claims. Under scarcity, the buyer frets over capital wasted on claims without gains from trade. Waiting can unbundle claims. Therefore, I argue that scarce capital after the financial crisis can explain smaller trades and trade delays. The deterioration in the time dimension of liquidity explains the practitioners' claims of deteriorated liquidity conditions. My model relates trade timing to the scarcity of capital, bargaining power distribution and dynamics of gains from trade

In dieser Arbeit untersuchen wir mathematische Modelle für Finanzmärkte mit einem großen Händler, dessen Handelsaktivitäten transienten Einfluss auf die Preise der Anlagen haben. Zuerst beschäftigen wir uns mit der Frage, wie die Handelserlöse des großen Händlers definiert werden sollen. Wir identifizieren die Erlöse zunächst für absolutstetige Strategien als nichtlineares Integral, in welchem sowohl der Integrand als der Integrator von der Strategie abhängen. Unserere Hauptbeiträge sind hier die Identifizierung der Skorokhod M1 Topologie als geeigneter Topologue auf dem Raum aller Strategien sowie die stetige Erweiterung der Definition für die Handelserlöse von absolutstetigen auf cadlag Kontrollstrategien. Weiter lösen wir ein Liquidierungsproblem in einem multiplikativen Modell mit Preiseinfluss, in dem die Liquidität stochastisch ist. Die optimale Strategie wird beschrieben durch die Lokalzeit für Reflektion einer Diffusion an einer nicht-konstanten Grenze. Um die HJB-Variationsungleichung zu lösen und Optimalität zu beweisen, wenden wir probabilistische Argumente und Methoden aus der Variationsrechnung an, darunter Laplace-Transformierte von Lokalzeiten für Reflektion an elastischen Grenzen. In der zweiten Hälfte der Arbeit untersuchen wir die Absicherung (Hedging) für Optionen. Der minimale Superhedging-Preis ist die Viskositätslösung einer semi-linearen partiellen Differenzialgleichung, deren Nichtlinearität von dem transienten Preiseinfluss abhängt. Schließlich erweitern wir unsere Analyse auf Hedging-Probleme in Märkten mit mehreren riskanten Anlagen. Stabilitätsargumente führen zu strukturellen Bedingungen, welche für ein arbitragefreies Modell mit wechselseitigem Preis-Impakt gelten müssen. Zudem ermöglichen es jene Bedingungen, die Erlöse für allgemeine Strategien unendlicher Variation in stetiger Weise zu definieren. Als Anwendung lösen wir das Superhedging-Problem in einem additiven Preis-Impakt-Modell mit mehreren Anlagen.
In this thesis we study mathematical models of financial markets with a large trader (price impact models) whose actions have transient impact on the risky asset prices. At first, we study the question of how to define the large trader's proceeds from trading. To extend the proceeds functional to general controls, we ask for stability in the following sense: nearby trading activities should lead to nearby proceeds. Our main contribution in this part is to identify a suitable topology on the space of controls, namely the Skorokhod M1 topology, and to obtain the continuous extension of the proceeds functional for general cadlag controls. Secondly, we solve the optimal liquidation problem in a multiplicative price impact model where liquidity is stochastic. The optimal control is obtained as the reflection local time of a diffusion process reflected at a non-constant free boundary. To solve the HJB variational inequality and prove optimality, we need a combination of probabilistic arguments and calculus of variations methods, involving Laplace transforms of inverse local times for diffusions reflected at elastic boundaries. In the second half of the thesis we study the hedging problem for a large trader. We solve the problem of superhedging for European contingent claims in a multiplicative impact model using techniques from the theory of stochastic target problems. The minimal superhedging price is identified as the unique viscosity solution of a semi-linear pde, whose nonlinearity is governed by the transient nature of price impact. Finally, we extend our consideration to multi-asset models. Requiring stability leads to strong structural conditions that arbitrage-free models with cross-impact should satisfy. These conditions turn out to be crucial for identifying the proceeds functional for a general class of strategies. As an application, the problem of superhedging with cross-impact in additive price impact models is solved.

L'objet de cette thèse est de comprendre dans quelle mesure la politique fiscale peut se substituer à la politique monétaire comme stabilisateur macroéconomique lorsque celle-ci est bloquée à zéro. Nous utilisons des modèles Nouveaux Keynésiens avec différentes spécifications du marché du travail afin d'apprécier l’effet de ces politiques en situation de trappe. Notre premier chapitre fait une synthèse de la littérature existante sur le multiplicateur de dépenses publiques en période de trappe à la liquidité dans des modèles nouveaux keynésiens. Dans une deuxième partie, nous montrons qu'étant donné le type de dépenses gouvernementales (productives, substituables ou non-productives/non-substituables) l’impact dans l'économie des dépenses gouvernementales est plus nuancé. Nous appliquons ces résultats sur la politiques de relance mise en place par le gouvernement des Etats-Unis en 2008 et en quantifions les effets. Le troisième chapitre pointe les effets des frictions financières sur le marché du travail. A l’aide d’un modèle simple d’appariement gouverné par un choc de productivité et un choc de taux d’intérêt réel et estimé à l’aide des techniques bayésiennes, nous montrons qu’il est possible de répliquer la volatilité du chômage et des emplois vacants observées dans les données. Dans une quatrième partie, nous tenons comptes des résultats obtenus précédemment et construisons un modèle nouveau keynésien avec un marché du travail à la Diamond, Mortensen et Pissarides. Nous mesurons les effets de la politique d’extension temporaire de la durée des allocations chômage aux Etats-Unis lancée en 2008, lorsque les taux d’intérêts sont bloqués à zéro.Finalement, dans un dernier chapitre, nous appliquons le modèle précédent à la France. Nous tentons d’apprécier s’il est approprié de mener des politiques structurelles dans le contexte actuel de trappe à liquidité
The purpose of this thesis is to assess in which extent the fiscal policy can replace the monetary policy when the latter is ineffective. We use a New Keynesian model with different labor market specifications in order to quantify the effects of those policies when the economy is stuck in liquidity trap.In the first chapter we write a survey of existing literature on government spending multiplier when the economy is stuck at the zero lower bound (ZLB) in a new Keynesian framework. In the second chapter we quantify the impact of the American Reinvestment and Recovery Act (ARRA), launched in 2008, under different government spending specifications. In the third part, we point out the effect of financial frictions on the labor market. To do so, we build and estimate with Bayesian methods a simple matching model a la Diamond, Mortensen and Pissarides, where fluctuations are driven by the canonical productivity shock and a real interest rate shock. The fourth chapter is dedicated to a positive evaluation of the increase in unemployment benefits of 2008 in the US. This analysis is performed using a New Keynesian model with labor market friction a la DMP. Finally we extend our last study to French economy. We evaluate the opportunity to conduct ambitious structural reforms in the current context with low inflation and inefficient monetary policy

This thesis is a collection of essays where I explore and extend the study of the role of financial frictions for the determination of asset prices, financial stability, and economic resilience. The frictions included in the analysis are individual and aggregate uncertainty, agent heterogeneity, money, liquidity and default. The first essay is an empirical study that motivates my research objectives. This work starts with the exploration of the role of liquidity on asset prices, specifically on sovereign bonds of emerging countries. I present a comprehensive model where I developed a novel methodology for finding the role of liquidity in the determination of asset prices during the financial crisis. In the second essay, illuminated by the empirical findings, I apply and expand the general equilibrium theory of money, default and financial stability. The contributions at the theoretical level are the extension of two-period model with discrete state space to the infinite horizon dynamic stochastic setting, and the inclusion of liquidity restrictions. In the third essay, I further extend this framework, allowing for production technology and endogenous market liquidity. Given the theoretical setting, I have analyzed the responses of financial stability and economic performance variables to real and financial shocks. Finally, in the fourth essay I produce an empirical application of this work. I apply a novel semi-parametric financial stability metric, and evaluate its relevance for the determination of asset prices, in the presence of liquidity restrictions. As a result, this thesis suggest plausible explanations for financial and economic issues that conventional models have not dealt with adequately.

This thesis studies the importance and implications of information asymmetry in decentralized markets with search frictions. The first chapter provides an introduction and literature review. In the next chapter, I propose a model of the housing market using a search framework in which sellers are unable to commit to asking prices announced ex ante. Relaxing the commitment assumption prevents sellers from using price posting as a signalling device to direct buyers' search. Adverse selection and inefficient entry on the demand side then contribute to housing market illiquidity. Real estate agents that can facilitate the search process can segment the market and alleviate information frictions. In Chapter 3, I further study the importance and implications of the commitment assumptions embedded in directed search models. I eliminate commitment to take-it-or-leave-it trading mechanisms in a model of the labour market with worker heterogeneity and a matching process that allows for multiple firms to match with a single worker. When workers and firms cannot commit to ex ante offers, to an allocation rule, or to an ex post bargaining strategy, the equilibrium is necessarily inefficient. This is true for a broad class of protocols for wage determination, of which bilateral bargaining and Bertrand competition are special cases. Finally, Chapter 4 presents a theory of land market activity for settings where there is uncertainty and private information about the security of land tenure. Land sellers match with buyers in a competitive search environment, and an illiquid land market emerges as a screening mechanism. The implications of the theory are tested using household level data from Indonesia. As predicted, formally titled land is more liquid than untitled land in the sense that ownership rights are more readily transferable.
Thesis (Ph.D, Economics) -- Queen's University, 2012-10-09 22:03:23.045

The theory of intertemporal choice that we have developed so far assumes that there are no imperfections in the credit market. The ability to borrow and save as much as needed—imposing only the intertemporal budget constraint—allows the transfer of resources over time and thus maintenance of a stable consumption profile through the life cycle. The chapter studies how the consumer’s problem changes in the presence of credit market frictions. The latter may explain why consumption growth is sensitive to expected changes in income (excess sensitivity of consumption) and why it is greater than predicted by the certainty equivalence model (excess growth of consumption).

The general reduction in the supply of labor, disruptions of supply chains, sudden loss of demand, and revenue by COVID-19 pandemic have negatively affected SMEs leading to their inability to operate normally causing liquidity constraints. Presumably, financial systems that reduce information asymmetry, transaction costs, ease external financial constraints, moderate market frictions, and ameliorate structural impediments limiting entrepreneurs and economic agents are instrumental. This chapter adopts an interpretive research perspective mainly employing documentary and secondary data analysis to explore descriptively the state of financial inclusivity and sustainable entrepreneurship in Namibia. Financial inclusivity explains entrepreneurship resilience through reduction of credit constraints embedded in irrecoverable start-up costs, limits operational innovations, hinders building production facilities and constructing distribution networks. Adopting SMEs' financial health framework, this study concludes that a multi-sectoral approach to SMEs' financial inclusivity is promising.

Water logging problem in late production reservoir with abundant edge-bottom water and water-gas layer stagger is one of the main factors that lead to production wells stop flow. For the water plugging problem during gas well production, the common operation is coiled tubing through casing. So, coiled tubing technology without moving production string is explored. X oilfield is located in Sichuan basin of China southwest and belongs to the origin of gas pipeline from Sichuan to China east. Its main gas producing area is carbonatite full of edge water and controlled by structural and lithology. The relationship between water and gas is complex and water-gas system is independent of different blocks and different layers. Because the main gas producing layer is close to the water layer, lots of gas producing wells stop spray for high water cut. At the meantime, the difficulty and risk of water plugging increases for its high depth of main gas producing layer and high temperature at the well bottom. To solve the problem above, cement slurry system with the characteristics of high temperature and sulfur resistant and channeling preventing is developed. At the same time, the cement slurry system has low friction and high liquidity and is easy to flow through the coiled tubing. Besides, cement slurry pollution is reduced and the success rate of gas well produced water plugging is improved by the combination of coiled tubing and cementing process and the construction technology optimization, software simulation and laboratory evaluation is carried out. The key step is that log analysis of water and gas distribution is done first. Then, tubing-expansion bridge plug is placed under the water layer and the cement slurry is sent to the desired location. At last, coiled tubing is put down after cement solidification and gas production is recovered. The measurement of coiled tubing and cement slurry system is positive for water plugging in gas wells with high depth and temperature. The oilfield test results show that daily gas production is improved largely and liquid production is reduced by 90% of 4 wells with high water cut through water plugging. Besides, operation cost is reduced and the pollution problem caused by produced water is also solved, which can provide certain significance for the same type wells need water plugging operation.