Booms, Busts, and Common Risk Exposures

• 成果类型: Article
• 署名作者: Kopytov, Alexandr
• 署名单位: University of Rochester
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13283
• 发表日期: 2023
• 页码: 3299-3341
• 关键词: systemic risk; financial crises; AGENCY COSTS; net worth; diversification; liquidity; banks; contagion; MODEL; externalities

摘要

I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated. A calibrated model is able to match key moments related to frequency, severity, and the economy's behavior around systemic crises.