题目：Liquidity and the Threat of Fraudulent Assets

主讲人：Li Yiting，National University of Taiwan

Abstract

We study an over-the-counter (OTC) market with bilateral meetings and bargaining, where

the usefulness of assets as a means of payment or collateral is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold or posted as collateral in the OTC market. Each endogenous, asset-specific, resalability constraint depends on the vulnerability of the asset to fraud, on the frequency of trade, and on the price of the asset.

In equilibrium, the set of assets can be partitioned into three liquidity tiers, which differ in their resalability, prices, sensitivity to shocks, and responses to policy interventions. The dependence

of an asset’s resalability on its price creates a pecuniary externality, which leads to the result that some policies commonly thought to improve liquidity can be welfare reducing. Finally, an extension of our model with endogenous, asset-specific haircuts can explain a liquidity crisis caused by a heightened threat of fraud.