Liquidity risk, market power and the informational effects of policy

Grégory Claeys, Katerina Chara Papioti and Andreas Tryphonides

Journal of International Economics, 2023, vol. 142, issue C

Abstract: Using a structural approach, we combine bidding data from open market operations with 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: Multi-unit auction; Liquidity risk; 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: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0022199623000181
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Liquidity risk, market power and the informational effects of policy (2023)
Working Paper: Liquidity Risk, Market Power and the Informational Effects of Policy (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:142:y:2023:i:c:s0022199623000181

DOI: 10.1016/j.jinteco.2023.103732

Access Statistics for this article

Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and Rodríguez-Clare, Andrés

More articles in Journal of International Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().