Private Information, Liquidity, and Financial Crises

私人信息、流动性和金融危机

• 批准号: 1326068
• 负责人: Robert Shimer
• 金额: $ 29.58万
• 依托单位: University of Chicago
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2013
• 资助国家: 美国
• 起止时间: 2013-08-15 至 2016-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1326068&HistoricalAwards=false
• 关键词: Private; Information; Liquidity; Financial; Crises

AbstractTitle: Private Information, Liquidity, and Financial CrisesProposal No: SES - 1326068Principal Investigator: Shimer, RobertThis research will develop and explore theoretical models of private information in financial markets. In many situations, the seller of a financial asset, such as a mortgage-backed security, may have information about the asset's quality that is unavailable to potential buyers. For example, a mortgage securitizer may be affiliated with the company that originated the mortgages that underlie the security. In this case, an investor who is considering purchasing a mortgage-backed security from the securitizer will be aware that the seller may have soft information about the homeowners' characteristics. Since this soft information affects the seller's willingness to sell, it will also affect the investor's willingness to purchase the security and hence the functioning of the mortgage market.The starting point for this research is an analysis of an environment in which there are gains from trade in financial assets. For example, a mortgage originator needs to sell some of its mortgage portfolio in order to raise money for new loans; or a mortgage securitizer needs to sell some of its existing securities in order to raise money to purchase to new mortgage pools. A buyer would like to purchase from a seller like this, with a strong intrinsic reason to sell. At the same time, sellers may have private information about the quality of the assets they own. A buyer would prefer not to purchase from a seller who is selling because he believes he has a low quality asset. Buyers are unable to tell whether a seller is selling an asset because the seller needs to raise funds or because the seller believes the asset has a low quality.Preliminary research establishes that the seller's asking price gives the buyer some of the seller's private information both about the asset's characteristics and about the seller's characteristics. The key insight is that in markets with a shortage of buyers, sellers can use their asking price as a costly signal. Sellers know that the shortage of buyers is more acute, and so a sale is less likely, at a higher price. Sellers who value holding onto their asset more, either because they perceive that the asset has a higher quality or because they do not have a strong intrinsic reason to sell the asset, are more willing to set a higher price at the risk of failing to sell their asset. Buyers know this and are willing to pay a high price to the extent that they expect to be compensated with a high quality asset. In equilibrium, the extent of the private information problem determines the shortfall in the number of buyers and hence the illiquidity of the market. More precisely, the equilibrium depends on the joint distribution of two types of private information: sellers' perception of asset quality and sellers' intrinsic reason for sale.The theoretical environment generates a rich set of empirical predictions. For example, identical assets may trade at different prices, with the price dependent on the owner's characteristics. On the other hand, heterogeneous assets may trade at the same price, so the price only imperfectly reveals an asset's quality. Some investors may simultaneously buy and sell assets in an effort to take advantage of their private information.The theoretical model suggests two notions of a crisis that leads to a breakdown in financial intermediation. The first involves a change in fundamentals. Sellers may get bad information about the quality of the assets in their portfolio. For example, a decline in house prices may increase the default risk for mortgage-backed securities that previously appeared to be safe. Alternatively, sellers may realize fewer investment opportunities, which lowers the gains from trade. For example, a decline in house prices may reduce the demand for new mortgages, moderating sellers' need to sell assets for cash. Both of these shifts imply that it is more likely that a seller is selling an asset because the seller has bad information about the asset, worsening the adverse selection problem and potentially leading to a collapse in trade.The second notion of a crisis involves a shift in behavior without a change in fundamentals. Preliminary research establishes conditions under which multiple equilibria can exist, with each indexed by the number of buyers in the market. Sellers pricing incentives are always determined by their desire to signal the quality of their asset. In an equilibrium with fewer buyers, sellers are perversely induced to set higher prices for their assets, which in turn drives out the buyers. This type of crisis may occur because of contagion which carries a crisis from one market (mortgage-backed securities) to another (securities backed by auto loans). The solid theoretical foundation that this research project will develop should be important for understanding and quantifying the importance of private information in financial markets. This in turn will be useful for evaluating the potential impact of politically feasible policy responses to a crisis and for formulating an optimal policy response

摘要标题：私人信息，流动性和金融危机提案号：SES -1326068首席研究员：夏默，罗伯特这项研究将开发和探索金融市场中的私人信息的理论模型。 在许多情况下，金融资产（如抵押贷款支持证券）的卖方可能拥有潜在买家无法获得的资产质量信息。 例如，抵押贷款证券化公司可能与发起抵押贷款的公司有关联。 在这种情况下，正在考虑从证券化机构购买抵押贷款支持证券的投资者将意识到，卖方可能拥有有关房主特征的软信息。 由于这种软信息影响卖方的出售意愿，因此也会影响投资者购买证券的意愿，进而影响抵押贷款市场的运行。本研究的出发点是分析金融资产交易中存在收益的环境。 例如，抵押贷款发起人需要出售其部分抵押贷款组合，以便为新的贷款筹集资金;或者抵押贷款证券化者需要出售其部分现有证券，以便筹集资金购买新的抵押贷款池。 一个买家想要从这样一个卖家那里购买，有一个强烈的内在理由出售。 与此同时，卖方可能拥有关于其所拥有资产质量的私人信息。 买家不愿意从卖家那里购买，因为他认为自己拥有低质量的资产。 买方无法判断卖方出售资产是因为卖方需要筹集资金，还是因为卖方认为资产质量不高。初步研究表明，卖方的要价给买方提供了卖方关于资产特征和卖方特征的一些私人信息。 关键的见解是，在买家短缺的市场中，卖家可以将他们的要价作为一个昂贵的信号。 卖家知道买家的短缺更加严重，因此销售的可能性更小，价格更高。 那些更看重持有资产的卖家，要么是因为他们认为资产质量更高，要么是因为他们没有强烈的内在理由出售资产，他们更愿意冒着无法出售资产的风险设定更高的价格。 买家知道这一点，并愿意支付高价，因为他们希望得到高质量资产的补偿。 在均衡中，私人信息问题的程度决定了买方数量的不足，从而决定了市场的非流动性。 更准确地说，均衡取决于两种类型的私人信息的联合分布：卖方对资产质量的看法和卖方出售销售的内在原因。 例如，相同的资产可能以不同的价格交易，价格取决于所有者的特征。 另一方面，异质资产可能以相同的价格交易，因此价格只能不完全地反映资产的质量。 一些投资者可能会同时买卖资产，以利用他们的私人信息。理论模型提出了两种导致金融中介崩溃的危机概念。 第一个是基本面的变化。 卖方可能会得到关于其投资组合中资产质量的错误信息。 例如，房价下跌可能会增加抵押贷款支持证券的违约风险，而这些证券此前似乎是安全的。 或者，卖方可能意识到投资机会减少，从而降低了贸易收益。 例如，房价下跌可能会减少对新抵押贷款的需求，从而缓和卖家出售资产以换取现金的需求。 这两种转变都意味着，卖方出售资产的可能性更大，因为卖方掌握了关于资产的错误信息，从而加剧了逆向选择问题，并可能导致贸易崩溃。危机的第二个概念涉及在基本面没有改变的情况下行为的转变。 初步研究建立了多重均衡存在的条件，每个均衡都以市场中的买家数量为指标。 卖方的定价激励总是由他们希望表明其资产质量的愿望决定的。 在一个买家较少的均衡中，卖家会被迫为他们的资产设定更高的价格，这反过来又会驱逐买家。 这类危机的发生可能是因为危机从一个市场（抵押贷款支持证券）蔓延到另一个市场（汽车贷款支持证券）。 本研究项目将建立的坚实的理论基础对于理解和量化私人信息在金融市场中的重要性非常重要。 这反过来将有助于评估政治上可行的危机政策应对措施的潜在影响并制定最佳政策应对措施