Data and Codes for: Public Liquidity and Financial Crises

Principal Investigator(s):  View help for Principal Investigator(s) Wenhao Li, University of Southern California

Version:  View help for Version V1

Name File Type Size Last Modified
  Data Analysis 07/17/2024 06:03:PM
  Figures 07/17/2024 06:04:PM
  Model 07/17/2024 06:04:PM
  Model Generated Data 07/17/2024 06:04:PM
  Raw Data 08/08/2024 11:41:AM
  Tables 07/17/2024 06:05:PM
ReadMe.pdf application/pdf 248.3 KB 08/08/2024 02:09:PM
main_step1.m text/x-matlab 997 bytes 07/17/2024 02:03:PM
main_step2.R text/x-rsrc 1.5 KB 07/17/2024 02:03:PM

Project Citation: 

Li, Wenhao. Data and Codes for: Public Liquidity and Financial Crises. Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-03-10. https://doi.org/10.3886/E194683V1

Project Description

Summary:  View help for Summary This paper studies the equilibrium effect of public liquidity on financial crises. Banks borrow from households via insured deposits and partially runnable debt, and suffer endogenous funding withdrawals from households in crises. Holding public liquidity alleviates banks' liquidity problems. In equilibrium, a larger public liquidity supply reduces crisis severity and expands bank lending, but it crowds bank deposits and increases bank vulnerability to real shocks. The model quantitatively explains 40% of Treasury liquidity premium variations. Counterfactual analyses reveal that QE1 significantly improves output, 20 times larger than QE3. However, QE policies raise bank fragility against non-financial shocks such as COVID-19.
Funding Sources:  View help for Funding Sources None

Scope of Project

Subject Terms:  View help for Subject Terms finance; time series; macroeconomics
JEL Classification:  View help for JEL Classification
      E44 Financial Markets and the Macroeconomy
      E58 Central Banks and Their Policies
      G01 Financial Crises
      G28 Financial Institutions and Services: Government Policy and Regulation
Geographic Coverage:  View help for Geographic Coverage All
Time Period(s):  View help for Time Period(s) 1970 – 2016
Collection Date(s):  View help for Collection Date(s) 2023 – 2023
Universe:  View help for Universe Multiple finance and macroeconomic time series in the dataset.
Data Type(s):  View help for Data Type(s) aggregate data
Collection Notes:  View help for Collection Notes Certain data are private and need access to Bloomberg terminal or WRDS database.  Data access requirements are stated in the ReadMe file.

Methodology

Response Rate:  View help for Response Rate Not an experiment
Data Source:  View help for Data Source Multiple data sources, including FRED, CBOE, Bloomberg, etc. See detailed descriptions of data sources in the ReadMe file. 
Unit(s) of Observation:  View help for Unit(s) of Observation Monthly

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Published Versions

V1 [2025-03-10]

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