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Emergency Liquidity Injections

1 Oct 2019 RDP 2019-10
Nicholas Garvin
As under the unsecured lending policy, if r. R. < r. ... then. S. R. (. r. R. ). <. S. u. (. r. u. ). whenever S < l. 5. Liquidity Support through Securities Purchases.
https://www.rba.gov.au/publications/rdp/2019/2019-10/full.html

Appendix B: Proofs

9 Oct 2019 RDP 2019-10
Nicholas Garvin
e. if. r. R. >. r. p. e. n. , then Equation (17) binds at all. ... m. R. to simultaneously satisfy Equation (3) and. m. R. =. r. R. /. (. 1. r. R. ). , the total quantity of securities sales S.
https://www.rba.gov.au/publications/rdp/2019/2019-10/appendix-b.html

The Model

9 Oct 2019 RDP 2019-10
Nicholas Garvin
i. (1 r. u. ), where r. u. > 0. Secured lending (also called repo) (R,(r. ... i. (1 r. R. ), where r. R. > 0. Securities purchase (S,m.
https://www.rba.gov.au/publications/rdp/2019/2019-10/the-model.html

Liquidity Injection through Secured Lending

9 Oct 2019 RDP 2019-10
Nicholas Garvin
As under the unsecured lending policy, if r. R. < r. ... then. S. R. (. r. R. ). <. S. u. (. r. u. ). whenever S < l. Footnotes. If h were positive, e.
https://www.rba.gov.au/publications/rdp/2019/2019-10/liquidity-injection-through-secured-lending.html

Liquidity Injection through Unsecured Lending

9 Oct 2019 RDP 2019-10
Nicholas Garvin
u. for. S. u. <. l. , then. S. u. is strictly decreasing in r. ... i. by comparing the returns that securities provide in the normal state (r.
https://www.rba.gov.au/publications/rdp/2019/2019-10/liquidity-injection-through-unsecured-lending.html

References

9 Oct 2019 RDP 2019-10
Nicholas Garvin
Fontaine J-S and R Garcia (2012), ‘Bond Liquidity Premia’, The Review of Financial Studies, 25(4), pp 1207–1254. ... Dice Center for Research in Financial Economics Working Paper 2014-09. Morris S and HS Shin (2016), ‘Illiquidity Component of
https://www.rba.gov.au/publications/rdp/2019/2019-10/references.html

Model Generalisations and Extensions

9 Oct 2019 RDP 2019-10
Nicholas Garvin
Π. i. C. (. s. i. ,. s. i. ). =. a. i. (. 1. λ. ). (. l. s. i. r. ... m. 1. >. m. 2. >. >. m. J. Fix b, s and the lending policy interest rate r.
https://www.rba.gov.au/publications/rdp/2019/2019-10/model-generalisations-and-extensions.html

Liquidity Support through Securities Purchases

9 Oct 2019 RDP 2019-10
Nicholas Garvin
i. r. s. ). λ. (. 0. b. S. 1. (. s. ). l. s. i. m. (. b. ,. s. i. ). ... u. > r. pen. induces an equilibrium. S. u. <. l.
https://www.rba.gov.au/publications/rdp/2019/2019-10/liquidity-support-through-securities-purchases.html