Abstract

This paper studies how market signals—such as stock prices—can help alleviate the severity of the asymmetric information problem in credit and liquidity management. Asymmetric information hinders the ability of borrowers (firms, investment banks, etc.) to undertake profitable investment opportunities and to insure themselves against liquidity shocks. I show that on the equilibrium path creditors do not learn anything from market signals because they can use a menu of contracts to screen the different types of borrowers. However, by conditioning liquidity insurance on ex post price signals, creditors are able to provide the borrowers with better incentives for truth telling. At the same time, prices depend on the liquidity that creditors offer to the borrowers. This two-way feedback impacts the design of the optimal contract and potentially generates multiple equilibria in financial markets.

中文翻译：

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具有市场信息的流动性保险

摘要

本文研究了市场信号（例如股票价格）如何帮助减轻信贷和流动性管理中信息不对称问题的严重性。信息不对称会阻碍借款人（公司，投资银行等）进行获利的投资机会并确保自己免受流动性冲击的能力。我证明，在均衡路径上，债权人不会从市场信号中学到任何东西，因为它们可以使用合同菜单来筛选不同类型的借款人。但是，通过以事后价格信号为条件的流动性保险，债权人能够为借款人提供更好的诱因。同时，价格取决于债权人提供给借款人的流动性。