Investment externalities in models of fire sales

• 成果类型: Article
• 署名作者: Kurlat, Pablo
• 署名单位: University of Southern California
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.07.005
• 发表日期: 2021
• 页码: 102-118
• 关键词: Fire sales; Pecuniary externality; asymmetric information

摘要

Two alternative models of fire sales that yield the same aggregate predictions have different normative implications. If fire sales result from marginal misallocation, a pecuniary externality leads to ex-ante overinvestment. If they result from asymmetric information, the overinvestment result is reversed. However, there may be a tradeoff between present and future underinvestment. Ex-ante macroprudential policy may need to treat different types of investment differently, but ex-post intervention is useful in both cases. (c) 2021 Elsevier B.V. All rights reserved.