Leaning Against the Wind
研究金融市场动荡时做市商的最优动态流动性供给，发现竞争性做市商在资本充足时可提供社会最优流动性，否则需央行宽松贷款支持。
During financial disruptions, marketmakers provide liquidity by absorbing external selling pressure. They buy when the pressure is large, accumulate inventories, and sell when the pressure alleviates. This paper studies optimal dynamic liquidity provision in a theoretical market setting with large and temporary selling pressure, and orderexecution delays. I show that competitive marketmakers offer the socially optimal amount of liquidity, provided they have access to sufficient capital. If raising capital is costly, this suggests a policy role for lenient central-bank lending during financial disruptions.