The Interaction of Bankers’ Asset and Liability Management with Liquidity Concerns
构建动态一般均衡模型，研究银行家资产负债管理与流动性担忧的相互作用。模型显示，二级市场信息不对称扭曲银行事前筛选激励，且外生生产率冲击被放大，繁荣可能导致萧条。
This paper develops a dynamic general equilibrium model on the interaction of bankers’ asset and liability management with liquidity concerns. Bankers screen real production projects and issue deposit contracts. Liquidity concerns stem from endogenized early withdrawals of deposits. To fulfill early withdrawals, bankers sell assets in a secondary market. The paper argues that ex post asymmetric information in the secondary market distorts bankers’ incentive to screen ex ante, as bad assets are easier to sell and generate liquidity benefits. Moreover, the general equilibrium feature of the model implies that exogenous aggregate productivity shocks are amplified and that booms may lead to busts.