Financial Fragility, Liquidity and Asset Prices
Financial Fragility, Liquidity and Asset Prices
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DOI：
10.1162/jeea.2004.2.6.1015
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发表时间：
2003-09
期刊：
影响因子：
--
通讯作者：
Franklin Allen;Douglas Gale
中科院分区：
文献类型：
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作者：
Franklin Allen;Douglas Gale
如果小的冲击产生不成比例的大影响，我们将金融体系定义为脆弱的。在一个金融中介模型中，我们证明了流动性需求的小冲击要么导致资产价格的高波动，要么导致银行违约，或者两者兼而有之。此外，当流动性冲击变得微乎其微时，资产价格波动率也会远离零。在极限经济中，没有冲击，有许多均衡;然而，唯一的均衡，是强大的引入小流动性冲击是那些与非平凡的太阳黑子活动。
We define a financial system to be fragile if small shocks have disproportionately large effects. In a model of financial intermediation, we show that small shocks to the demand for liquidity cause either high asset-price volatility or bank defaults or both. Furthermore, as the liquidity shocks become vanishingly small, the asset-price volatility is bounded away from zero. In the limit economy, with no shocks, there are many equilibria; however, the only equilibria that are robust to the introduction of small liquidity shocks are those with non-trivial sunspot activity.