Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality

• 成果类型: Article
• 署名作者: Guerrieri, Veronica; Shimer, Robert
• 署名单位: University of Chicago; University of Chicago
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.7.1875
• 发表日期: 2014
• 页码: 1875-1908
• 关键词: markets; liquidity; uncertainty; INFORMATION; lemons; RISK

摘要

We develop a dynamic equilibrium model of asset markets with adverse selection. There exists a unique equilibrium in which better quality assets trade at higher prices but with a lower price-dividend ratio in less liquid markets. Sellers of high-quality assets signal quality by accepting a lower trading probability. We show how the distribution of sellers' private information affects an asset's price and liquidity, how a change in that distribution can cause a fire sale and a flight to quality, and how asset purchase and subsidy programs may raise prices and liquidity and reverse the flight to quality.