VGSF - WU Vienna - LC

Burton Hollifield, CMU Tepper School of Business

Campus WU D3.0.225 11:00 - 12:30

Organizer VGSF

As part of the ser­ies of the "Fin­ance Re­search Sem­inar", VGSF wel­comes Bur­ton Hol­li­field from the CMU Tep­per School of Busi­ness to present his re­search pa­per.
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The Ma­tur­ity Struc­ture of In­side Money

We study risk and ma­tur­ity trans­form­a­tion when bank li­ab­il­it­ies fa­cil­it­ate trade in goods mar­kets and house­holds face ag­greg­ate li­quid­ity shocks. Banks’ bal­ance
sheets trans­form ag­greg­ate in­vest­ment risk provid­ing a stable source of li­quid­ity to house­holds. When in­vest­ments are suf­fi­ciently risky, bank li­ab­il­it­ies trans­form risk and ma­tur­ity: li­ab­il­it­ies are less risky and have shorter term pay­offs than banks’ real in­vest­ments. When ma­tur­ity trans­form­a­tion is so­cially ef­fi­cient, ag­greg­ate long-term li­quid­ity is scarce rais­ing the re­l­at­ive price of long-term bank is­su­ances. In the com­pet­it­ive equi­lib­rium banks provide too little ma­tur­ity trans­form­a­tion re­l­at­ive to the so­cial op­timum.

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