A Model of Capital and Crises

• 成果类型: Article
• 署名作者: He, Zhigu; Krishnamurthy, Arvind
• 署名单位: University of Chicago; Northwestern University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdr036
• 发表日期: 2012
• 页码: 735-777
• 关键词: market participation; security design; continuous-time; interest-rates; asset prices; equilibrium; CONVERGENCE; consumption; constraints

摘要

We develop a model in which the capital of the intermediary sector plays a critical role in determining asset prices. The model is cast within a dynamic general equilibrium economy, and the role for intermediation is derived endogenously based on optimal contracting considerations. Low intermediary capital reduces the risk-bearing capacity of the marginal investor. We show how this force helps to explain patterns during financial crises. The model replicates the observed rise during crises in Sharpe ratios, conditional volatility, correlation in price movements of assets held by the intermediary sector, and fall in riskless interest rates.