Financial innovation, macroeconomic stability and systemic crises

• 成果类型: Article; Proceedings Paper
• 署名作者: Gai, Prasanna; Kapadia, Sujit; Millard, Stephen; Perez, Ander
• 署名单位: Australian National University; University of London; London School Economics & Political Science
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2007.02127.x
• 发表日期: 2008
• 页码: 401-426
• 关键词: asset fire sales; currency crises; equilibrium; instability; POLICY; RISK

摘要

We present a general equilibrium model of intermediation designed to capture some of the key features of the modern financial system. The model incorporates financial constraints and state-contingent contracts, and contains a clearly defined pecuniary externality associated with asset fire sales during periods of stress. If a sufficiently severe shock occurs during a credit expansion, this externality is capable of generating a systemic financial crisis that may be self-fulfilling. Our model suggests that financial innovation and greater macroeconomic stability may have made financial crises in developed countries less likely than in the past but potentially more severe.