Asset Quality Cycles

• 成果类型: Article
• 署名作者: Fukui, Masao
• 署名单位: Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.02.006
• 发表日期: 2018
• 页码: 97-108
• 关键词: Adverse selection; Endogenous quality; moral hazard; business cycle

摘要

Systemic risk builds up during booms in an economy featuring asymmetric information in asset markets, where investors' hidden effort choices endogenously determine asset quality distribution. Higher asset prices during booms induce more investors to sell their assets, which lowers their incentive to improve quality. This quality deterioration in turn makes the economy vulnerable to future exogenous shocks because market breakdowns become more likely. Private agents do not internalize that their effort choices worsen future adverse selection problems, and thus the planner may improve welfare by taxing trade and thereby lowering asset prices. (C) 2018 Elsevier B.V. All rights reserved.