Rollover Risk, Liquidity and Macroprudential Regulation
研究了批发融资市场中中介机构持有流动性对展期风险的影响，发现流动性持有存在策略替代性，导致过度清算，需宏观审慎监管施加流动性缓冲。
I study rollover risk in wholesale funding markets when intermediaries hold liquidity ex ante and fire sales may occur ex post . Multiple equilibria exist in a global rollover game: intermediate liquidity holdings support equilibria with both positive and zero expected liquidation. A simple uniqueness refinement pins down the private liquidity choice, which balances the forgone expected return on investment with reduced fragility and costly liquidation. Due to fire sales, liquidity holdings are strategic substitutes. Intermediaries free ride on the holdings of other intermediaries, causing excessive liquidation. To internalize the systemic nature of liquidity, a macroprudential authority imposes liquidity buffers.