Vulnerable banks

• 成果类型: Article
• 署名作者: Greenwood, Robin; Landier, Augustin; Thesmar, David
• 署名单位: Harvard University; National Bureau of Economic Research; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Hautes Etudes Commerciales (HEC) Paris; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.11.006
• 发表日期: 2015
• 页码: 471-485
• 关键词: banks; Systemic risk; fire sales; PRICE PRESSURE; contagion

摘要

We present a model in which fire sales propagate shocks across bank balance sheets. When a bank experiences a negative shock to its equity, a natural way to return to target leverage is to sell assets. If potential buyers are limited, then asset sales depress prices, in which case one bank's sales impact other banks with common exposures. We show how this contagion effect adds up across the banking sector, and how it can be estimated empirically using balance sheet data. We compute bank exposures to system-wide deleveraging, as well as the spillovers induced by individual banks. Applying the model to European banks, we evaluate a variety of interventions to reduce their vulnerability to fire sales during the sovereign debt crisis. (C) 2015 Published by Elsevier B.V.