The Good, the Bad, and the Missed Boom

• 成果类型: Article
• 署名作者: Perotti, Enrico; Rola-Janicka, Magdalena
• 署名单位: University of Amsterdam; Tinbergen Institute; Centre for Economic Policy Research - UK; Tilburg University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac014
• 发表日期: 2022
• 页码: 5025
• 关键词: Credit expansion; RISK; price; disclosure; decisions; valuation; liquidity; banks; debt

摘要

Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead to asset underpricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.