A FINANCIAL ACCELERATOR THROUGH COORDINATION FAILURE

• 成果类型: Article
• 署名作者: de Groot, Oliver
• 署名单位: University of Liverpool; Centre for Economic Policy Research - UK
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueaa080
• 发表日期: 2021
• 页码: 1620-1642
• 关键词: monetary-policy; optimal-contracts; AGENCY COSTS; net worth; Bank runs; RISK; liquidity; frictions; MARKETS; MODEL

摘要

This article studies the effect of liquidity crises in short-term debt markets in a dynamic general equilibrium framework. Creditors (retail banks) receive imperfect signals regarding the profitability of borrowers (wholesale banks) and, based on these signals and their beliefs about other creditors' actions, choose whether to roll over funding, or not. The unco-ordinated actions of creditors cause a suboptimal incidence of rollover, generating an illiquidity premium. Leverage magnifies this co-ordination inefficiency. Illiquidity shocks in credit markets result in sharp contractions in output. Policy responses are analysed.