Savings Gluts and Financial Fragility

• 成果类型: Article
• 署名作者: Bolton, Patrick; Santos, Tano; Scheinkman, Jose A.
• 署名单位: Columbia University; National Bureau of Economic Research; Princeton University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa074
• 发表日期: 2021
• 页码: 1408
• 关键词: IMBALANCES; liquidity; booms; MODEL

摘要

We propose an incentive-based theory of how a savings glut produces financial fragility. Originators must be incentivized to produce high-quality assets. Assets are distributed to informed intermediaries or uninformed investors. A savings glut reduces origination incentives by compressing spreads between the prices paid for high-quality assets by informed intermediaries and prices paid by uninformed investors for generic assets. The narrowing of spreads relaxes intermediaries' borrowing constraints, resulting in higher leverage. This generates financial fragility: intermediaries are more likely to become insolvent if unforeseen losses arise. Our model offers a coherent narrative of the run-up to the Global Financial Crisis.