FINANCIAL FRAGILITY, LIQUIDITY, AND ASSET PRICES

• 成果类型: Article
• 署名作者: Allen, Franklin; Gale, Douglas
• 署名单位: University of Pennsylvania; New York University
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/1542476042813805
• 发表日期: 2004
• 页码: 1015-1048
• 关键词: Bank runs; MODEL

摘要

We define a financial system to be fragile if small shocks have disproportionately large effects. In a model of financial intermediation, we show that small shocks to the demand for liquidity cause either high asset-price volatility or bank defaults or both. Furthermore, as the liquidity shocks become vanishingly small, the asset-price volatility is bounded away from zero. In the limit economy, with no shocks, there are many equilibria. However, if banks face idiosyncratic liquidity shocks, then the only equilibria that are robust to the introduction of small aggregate risk involve stochastic consumption as well as volatile asset, prices. (JEL: D5, D8, G2)