Balance Sheet Channel with Information-Trading Frictions in Secondary Markets
成果类型：
Article
署名作者：
Asriyan, Vladimir
署名单位：
Centre de Recerca en Economia Internacional (CREI); Pompeu Fabra University; Barcelona School of Economics; Centre for Economic Policy Research - UK
刊物名称：
REVIEW OF ECONOMIC STUDIES
ISSN/ISSBN：
0034-6527
DOI：
10.1093/restud/rdaa069
发表日期：
2021
页码：
44-90
关键词：
摘要：
This article develops a theory of the balance sheet channel that places a central emphasis on the liquidity of secondary markets for macro-contingent claims. We show that the presence of dispersed information and imperfect competition in secondary markets, interacted with financial constraints, results in mispricing and misallocation of aggregate risk, distorts aggregate investment, and exacerbates asset price and output volatility. The magnitude of balance sheet amplification effects becomes endogenously tied to the severity of market frictions, which likely vary over time and across economies. The laissez-faire equilibrium is constrained inefficient due to a novel externality originating from rent-extracting behaviour of agents in secondary markets. Optimal corrective policy boosts secondary market liquidity through subsidies to trade in macro-contingent claims, which enhances aggregate risk-sharing and stabilizes the business cycle.
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