Liquidity risk and contagion
成果类型：
Article; Proceedings Paper
署名作者：
Cifuentes, R; Ferrucci, G; Shin, HS
署名单位：
University of London; London School Economics & Political Science
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/jeea.2005.3.2-3.556
发表日期：
2005
页码：
556-566
关键词：
摘要：
This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market. When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets. Marking to market of the asset book can induce a further round of endogenously generated sales of assets, depressing prices further and inducing further sales. Contagious failures can result from small shocks. We investigate the theoretical basis for contagious failures and quantify them through simulation exercises. Liquidity requirements on institutions can be as effective as capital requirements in forestalling contagious failures.
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