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Article Dans Une Revue Journal of International Economics Année : 2023

Liquidity risk, market power and the informational effects of policy

Résumé

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.
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Dates et versions

hal-04164592 , version 1 (18-07-2023)

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Grégory Claeys, Chara Papioti, Andreas Tryphonides. Liquidity risk, market power and the informational effects of policy. Journal of International Economics, 2023, 142, pp.1-35. ⟨10.1016/j.jinteco.2023.103732⟩. ⟨hal-04164592⟩
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