Share
International Finance Discussion Papers: The Fragility of Discretionary Liquidity Provision Lessons from the Collapse of the Auction Rate Securities M (in English)
United States Federal Reserve Board
(Author)
·
Dan Li
(Author)
·
Song Han
(Author)
·
Bibliogov
· Paperback
International Finance Discussion Papers: The Fragility of Discretionary Liquidity Provision Lessons from the Collapse of the Auction Rate Securities M (in English) - United States Federal Reserve Board ; Han, Song ; Li, Dan
$ 14.20
$ 17.75
You save: $ 3.55
Choose the list to add your product or create one New List
✓ Product added successfully to the Wishlist.
Go to My WishlistsIt will be shipped from our warehouse between
Thursday, July 04 and
Friday, July 05.
You will receive it anywhere in United States between 1 and 3 business days after shipment.
Synopsis "International Finance Discussion Papers: The Fragility of Discretionary Liquidity Provision Lessons from the Collapse of the Auction Rate Securities M (in English)"
We study the fragility of discretionary liquidity provision by major financial intermediaries during systemic events. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this discretionary liquidity provision greatly affected both net investor demand and auction clearing rates. Importantly, such discretionary liquidity provision is fragile. As auction dealers suffered losses from other financial markets and faced increasing inventory pressure, they stopped making markets. Moreover, the drop in support occurred suddenly, apparently triggered by the unexpected withdrawal of one major broker-dealer.
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
- 0% (0)
All books in our catalog are Original.
The book is written in English.
The binding of this edition is Paperback.
✓ Producto agregado correctamente al carro, Ir a Pagar.
