Leverage, Moral Hazard, and Liquidity

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Viswanathan, S.
• 署名单位: New York University; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01627.x
• 发表日期: 2011
• 页码: 99-138
• 关键词: asset fire sales; collateral constraints; AGENCY COSTS; debt; equilibrium; MARKETS

摘要

Financial firms raise short-term debt to finance asset purchases; this induces risk shifting when economic conditions worsen and limits their ability to roll over debt. Constrained firms de-lever by selling assets to lower-leverage firms. In turn, asset-market liquidity depends on the system-wide distribution of leverage, which is itself endogenous to future economic prospects. Good economic prospects yield cheaper short-term debt, inducing entry of higher-leverage firms. Consequently, adverse asset shocks in good times lead to greater de-leveraging and sudden drying up of market and funding liquidity.