论文标题
销售消防，LOLR和银行以不断的资产流动性运行
Fire Sales, the LOLR and Bank Runs with Continuous Asset Liquidity
论文作者
论文摘要
银行的资产消防销售和向中央银行信贷的求助是通过持续资产流动性建模的，从而得出了银行的责任结构。资产销售流动性和中央银行抵押框架都在单位间隔内建模为功能功能。资金稳定性被捕获为一种战略银行运行游戏，该游戏在储户之间的纯粹策略中被捕获。火出售流动性和中央银行抵押框架共同确定银行系统实现成熟度转化的能力而无需危害金融稳定。该模型还解释了为什么银行倾向于在中央银行使用最不合格的抵押品，以及为什么突然不预料的资产流动性降低或收紧抵押框架会触发银行运行。该模型还表明，作为金融稳定性和非规定的货币政策工具，可以理解抵押品框架，而不是保护中央银行的目的。
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.
