Unstable banking

• 成果类型: Article
• 署名作者: Shleifer, Andrei; Vishny, Robert W.
• 署名单位: Harvard University; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.10.007
• 发表日期: 2010
• 页码: 306-318
• 关键词: Securitization; credit; fire sales; Systemic risk

摘要

We propose a theory of financial intermediaries operating in markets influenced by investor sentiment. In our model, banks make, securitize, distribute, and trade loans, or they hold cash. They also borrow money, using their security holdings as collateral. Banks maximize profits, and there are no conflicts of interest between bank shareholders and creditors. The theory predicts that bank credit and real investment will be volatile when market prices of loans are volatile, but it also points to the instability of banks, especially leveraged banks, participating in markets. Profit-maximizing behavior by banks creates systemic risk. (C) 2009 Elsevier B.V. All rights reserved.