Rollover Risk and Market Freezes

• 成果类型: Article
• 署名作者: Acharya, Viral V.; Gale, Douglas; Yorulmazer, Tanju
• 署名单位: National Bureau of Economic Research; New York University; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01669.x
• 发表日期: 2011
• 页码: 1177-1209
• 关键词: LIQUIDITY RISK; debt; banking; CHOICE

摘要

The debt capacity of an asset is the maximum amount that can be borrowed using the asset as collateral. We model a sudden collapse in the debt capacity of good collateral. We assume short-term debt that must be frequently rolled over, a small transaction cost of selling collateral in the event of default, and a small probability of meeting a buy-to-hold investor. We then show that a small change in the asset's fundamental value can be associated with a catastrophic drop in the debt capacity, the kind of market freeze observed during the crisis of 2007 to 2008.