Credit risk transfer and contagion

• 成果类型: Article; Proceedings Paper
• 署名作者: Allen, F; Carletti, E
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.10.004
• 发表日期: 2006
• 页码: 89-111
• 关键词: Financial innovation; pareto inferior; banking; insurance

摘要

Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have Suggested that they may be undesirable if they increase the risk of financial crises. Using a model with banking and insurance sectors, we show that credit risk transfer can be beneficial when banks face uniform demand for liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, credit risk transfer can be detrimental to welfare. It can lead to contagion between the two sectors and increase the risk of crises. (c) 2005 Elsevier B.V. All rights reserved.