A Model of Shadow Banking

• 成果类型: Article
• 署名作者: Gennaioli, Nicola; Shleifer, Andrei; Vishny, Robert W.
• 署名单位: Harvard University; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12031
• 发表日期: 2013
• 页码: 1331-1363
• 关键词: rare disasters; liquidity

摘要

We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase their exposure to systematic risk as they reduce idiosyncratic risk through diversification. The shadow banking system is stable and welfare improving under rational expectations, but vulnerable to crises and liquidity dry-ups when investors neglect tail risks.