The seeds of a crisis: A theory of bank liquidity and risk taking over the business cycle

• 成果类型: Article
• 署名作者: Acharya, Viral; Naqvi, Hassan
• 署名单位: Sungkyunkwan University (SKKU); New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.05.014
• 发表日期: 2012
• 页码: 349-366
• 关键词: Bubbles; Flight to quality; moral hazard

摘要

We examine how the banking sector could ignite the formation of asset price bubbles when there is access to abundant liquidity. Inside banks, to induce effort, loan officers are compensated based on the volume of loans. Volume-based compensation also induces greater risk taking; however, due to lack of commitment, loan officers are penalized ex post only if banks suffer a high enough liquidity shortfall. Outside banks, when there is heightened macroeconomic risk, investors reduce direct investment and hold more bank deposits. This 'flight to quality' leaves banks flush with liquidity, lowering the sensitivity of bankers' payoffs to downside risks and inducing excessive credit volume and asset price bubbles. The seeds of a crisis are thus sown. (C) 2012 Elsevier B.V. All rights reserved.