Rollover risk as market discipline: A two-sided inefficiency

• 成果类型: Article
• 署名作者: Eisenbach, Thomas M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.07.009
• 发表日期: 2017
• 页码: 252-269
• 关键词: Rollover risk; MARKET DISCIPLINE; fire sales; global games

摘要

Why does the market discipline that financial intermediaries face seem too weak during booms and too strong during crises? This paper shows in a general equilibrium setting that rollover risk as a disciplining device is effective only if all intermediaries face purely idiosyncratic risk. However, if assets are correlated, a two-sided inefficiency arises: Good aggregate states have intermediaries taking excessive risks, while bad aggregate states suffer from costly fire sales. The driving force behind this inefficiency is an amplifying feedback loop between asset values and market discipline. In equilibrium, financial intermediaries inefficiently amplify both positive and negative aggregate shocks. (C) 2017 Elsevier B.V. All rights reserved.