Econ Papers Daily / 期刊论文
商业、流动性与信息周期
Business, Liquidity, and Information Cycles
摘要
Stock markets play a dual role: they provide information about firms’ fundamentals, which improves resource allocations, and they provide liquidity. We propose a setting in which these two roles interact: if stocks are used more intensively for liquidity, then prices reveal less information about fundamentals. We structurally estimate stock price informativeness for several countries and show that it declines when alternative liquidity sources, such as banks, are in distress. To study the real effects of this mechanism, we devise a strategy to integrate our stock-trading module into a dynamic general equilibrium model with heterogeneous firms. We calibrate the model to the US and simulate recessions with and without banking distress. In a stand-alone recession, prices become more informative, and allocation improves, mitigating output losses by 4.4%. If the recession coincides with banking distress, agents rely more on stock markets to obtain liquidity, prices become less informative, and allocation deteriorates, magnifying output losses by 22%.
中文摘要
股票市场具有双重作用：一方面提供企业基本面信息以优化资源配置，另一方面提供流动性。我们构建了一个两种作用相互影响的框架：若股票被更密集地用于获取流动性，则价格所反映的基本面信息将减少。我们通过结构估计测度了多国股票价格的信息含量，发现当银行等替代性流动性来源陷入困境时，股价信息含量会下降。为研究该机制的实际经济效应，我们设计策略将股票交易模块嵌入包含异质性企业的动态一般均衡模型。基于美国数据校准模型后，我们模拟了有无银行业困境伴随的经济衰退情景。在独立衰退中，价格信息含量提升，资源配置改善，使产出损失降低4.4%；若衰退伴随银行业困境，经济主体将更依赖股票市场获取流动性，导致价格信息含量下降与资源配置恶化，使产出损失扩大22%。