Optimal Liquidity Provision and Dynamic Incentive Compatibility
AbstractThe paper analyses the problem of optimal liquidity provision in simple continuous-time general-equilibrium model under uncertainty. It argues that liquidity provision is subject to moral-hazard problems due to the unobservebility of households' characteristics and characterizes incentive-compatible deposit contracts as second mechanisms to provide liquidity.
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Bibliographic InfoPaper provided by Université de Lausanne, Faculté des HEC, DEEP in its series Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) with number 9604.
Length: 29 pages
Date of creation: Feb 1996
Date of revision:
Publication status: Published in Journal of Financial Intermediation, vol. 7 (2), April 1998, pp. 177-197
Contact details of provider:
Postal: Université de Lausanne, Faculté des HEC, DEEP, Internef, CH-1015 Lausanne
Phone: ++41 21 692.33.64
Fax: ++41 21 692.33.05
Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
More information through EDIRC
liquidity; deposit contracts; banking; dynamic programming;
Find related papers by JEL classification:
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D92 - Microeconomics - - Intertemporal Choice - - - Intertemporal Firm Choice, Investment, Capacity, and Financing
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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"Banks, markets, and efficiency,"
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- Falko Fecht & Antoine Martin, 2005. "Banks, markets, and efficiency," Staff Reports 210, Federal Reserve Bank of New York.
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- Alexander Zimper, 2013.
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- Alexander Zimper, 2011. "Optimal liquidity provision through a demand deposit scheme: The Jacklin critique revisited," Working Papers 208, Economic Research Southern Africa.
- Augusto Hasman & Margarita Samartin & Jos van Bommel, 2010. "Financial Intermediaries and Transaction Costs," Documents de Travail de l'OFCE 2010-02, Observatoire Francais des Conjonctures Economiques (OFCE).
- Haibin Zhu, 2003. "Credit constraints, financial liberalisation and twin crises," BIS Working Papers 124, Bank for International Settlements.
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