Liquidity and the Threat of Fraudulent Assets
研究了场外交易市场中，欺诈行为如何限制资产作为支付或抵押品的有效性，内生形成不同流动性的资产层级，并影响价格、折扣和政策反应。
We study an over-the-counter (OTC) market in which the usefulness of assets as a means of payment or collateral is limited by the threat of fraudulent practices. Agents can produce fraudulent assets at a positive cost, which generates upper bounds on the quantity of each asset that can be traded in the OTC market. Each of these endogenous, asset-specific, resalability constraints depends on the cost of fraud, on the frequency of trade, and on the asset price. In equilibrium, assets are partitioned into three liquidity tiers, which differ in their resalability, prices, haircuts, sensitivity to shocks, and responses to policies.