Fire-Sale Spillovers and Systemic Risk

• 成果类型: Article
• 署名作者: Duarte, Fernando; Eisenbach, Thomas M.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13010
• 发表日期: 2021
• 页码: 1251-1294
• 关键词: capital structure; panel-data; liquidity; determinants; components; purchases; prices; FLOWS

摘要

We identify and track over time the factors that make the financial system vulnerable to fire sales by constructing an index of aggregate vulnerability. The index starts increasing quickly in 2004, before most other major systemic risk measures, and triples by 2008. The fire-sale-specific factors of delevering speed and concentration of illiquid assets account for the majority of this increase. Individual banks' contributions to aggregate vulnerability predict other firm-specific measures of systemic risk, including SRISK and Delta CoVaR. The balance-sheet-based measures we propose are therefore useful early indicators of when and where vulnerabilities are building up.