Public liquidity and banking
Abstract/Contents
- Abstract
- This thesis is an exploration of the interactions between public liquidity (treasuries and reserves) and the banking sector. My research provides two perspectives. First, the banking sector demands public liquidity to guard against large systemic funding withdrawals. I find supportive evidence for this liquidity insurance motive, by quantifying a general equilibrium model with infrequent banking crises. The model implies that the supply of public liquidity impacts the cost of liquidity insurance, and therefore, affects banking sector fragility. Counterfactual analyses reveal that public liquidity expansions in QE1 is much more powerful than those in QE3, mostly due to differences in bank equity. Second, treasuries, as part of public liquidity, are partially substitutable to bank deposits. I quantify a model where both treasuries and bank deposits provide liquidity services, and their elasticity of substitution is a parameter to be estimated. I show that on average, their level of substitution is medium, which contradicts the recent findings in the literature. My estimations have implications for the time series variations of the liquidity premium and the monetary effects of fiscal policies.
Description
| Type of resource | text |
|---|---|
| Form | electronic resource; remote; computer; online resource |
| Extent | 1 online resource. |
| Place | California |
| Place | [Stanford, California] |
| Publisher | [Stanford University] |
| Copyright date | 2019; ©2019 |
| Publication date | 2019; 2019 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Author | Li, Wenhao |
|---|---|
| Degree supervisor | Krishnamurthy, Arvind |
| Thesis advisor | Krishnamurthy, Arvind |
| Thesis advisor | Di Tella, Sebastian T |
| Thesis advisor | Duffie, Darrell |
| Thesis advisor | Sannikov, Yuliy |
| Degree committee member | Di Tella, Sebastian T |
| Degree committee member | Duffie, Darrell |
| Degree committee member | Sannikov, Yuliy |
| Associated with | Stanford University, Graduate School of Business. |
Subjects
| Genre | Theses |
|---|---|
| Genre | Text |
Bibliographic information
| Statement of responsibility | Wenhao Li. |
|---|---|
| Note | Submitted to the Graduate School of Business. |
| Thesis | Thesis Ph.D. Stanford University 2019. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2019 by Wenhao Li
- License
- This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).
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