Dynamic Self-Fulfilling Fire Sales

• 成果类型: Article; Early Access
• 署名作者: Khorrami, Paymon; Mendo, Fernando
• 署名单位: Duke University; Pontificia Universidade Catolica do Rio de Janeiro
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70069
• 发表日期: 2026-07-28
• 关键词: macroeconomic model; Bank runs; liquidity

摘要

Why do fire sales occur if many risks are hedgeable? We study a version of Brunnermeier and Sannikov (2014, American Economic Review 104, 379-421) in which all fundamental risks can be hedged frictionlessly. Our analysis shows that fire sales are inherently self-fulfilling. Fundamental shocks can never cause fire sales, and an efficient, safe equilibrium exists. On the other hand, there exists an equilibrium in which agents coordinate fire sales on nonfundamental shocks. A simple refinement based on vanishingly small perceived fundamental risk eliminates the safe equilibrium and selects the fire-sale equilibrium as the unique outcome.