Liquidity Risk, Market Power and the Informational Effects of Policy

Andreas Tryphonides and Grégory Claeys
Authors registered in the RePEc Author Service: Katerina Chara Papioti

No 1206, Working Papers from Barcelona School of Economics

Abstract: Abstract. Using a structural approach, we combine bidding data from open market operations as well as macroeconomic information to recover the latent distribution of liquidity risk across financial institutions in Chile and how it is affected by policy. We find that unanticipated shocks to foreign reserve accumulation and interest rates have significant effects on aggregate beliefs about a liquidity shock in the near future. We demonstrate that accounting for market power is important for measuring the strength of this informational channel of macroeconomic policy.

Keywords: liquidity risk; multi-unit auction; signalling effects of macroeconomic policy (search for similar items in EconPapers)
JEL-codes: C57 D44 D80 E58 F30 G20 (search for similar items in EconPapers)
Date: 2020-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Related works:
Journal Article: Liquidity risk, market power and the informational effects of policy (2023)
Working Paper: Liquidity risk, market power and the informational effects of policy (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:1206

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