Neglected risks, financial innovation, and financial fragility

• 成果类型: Article
• 署名作者: Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert
• 署名单位: Harvard University; National Bureau of Economic Research; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.05.005
• 发表日期: 2012
• 页码: 452-468
• 关键词: banks; Local thinking; CRISIS

摘要

We present a standard model of financial innovation, in which intermediaries engineer securities with cash flows that investors seek, but modify two assumptions. First, investors (and possibly intermediaries) neglect certain unlikely risks. Second, investors demand securities with safe cash flows. Financial intermediaries cater to these preferences and beliefs by engineering securities perceived to be safe but exposed to neglected risks. Because the risks are neglected, security issuance is excessive. As investors eventually recognize these risks, they fly back to the safety of traditional securities and markets become fragile, even without leverage, precisely because the volume of new claims is excessive. (C) 2011 Elsevier B.V. All rights reserved.