The Macroeconomics of Shadow Banking

• 成果类型: Article
• 署名作者: Moreira, Alan; Savov, Alexi
• 署名单位: University of Rochester; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12540
• 发表日期: 2017
• 页码: 2381-2432
• 关键词: FINANCIAL-INTERMEDIARIES; endogenous liquidity; Credit expansion; rare disasters; interest-rates; asset; MARKETS; money; runs; crises

摘要

We build a macrofinance model of shadow bankingthe transformation of risky assets into securities that are money-like in quiet times but become illiquid when uncertainty spikes. Shadow banking economizes on scarce collateral, expanding liquidity provision, boosting asset prices and growth, but also building up fragility. A rise in uncertainty raises shadow banking spreads, forcing financial institutions to switch to collateral-intensive funding. Shadow banking collapses, liquidity provision shrinks, liquidity premia and discount rates rise, asset prices and investment fall. The model generates slow recoveries, collateral runs, and flight-to-quality effects, and it sheds light on Large-Scale Asset Purchases, Operation Twist, and other interventions.