FINANCIAL FRAGILITY, LIQUIDITY, AND ASSET PRICES

被引：118

作者：

Allen, Franklin ^{[1
]}

Gale, Douglas ^{[2
]}

机构：

[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[2] NYU, New York, NY 10003 USA

来源：

JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION | 2004年 / 2卷 / 06期

关键词：

D O I：

10.1162/1542476042813805

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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, if banks face idiosyncratic liquidity shocks, then the only equilibria that are robust to the introduction of small aggregate risk involve stochastic consumption as well as volatile asset, prices. (JEL: D5, D8, G2)

引用

页码：1015 / 1048

页数：34

共 29 条

[1] Financial intermediaries and markets [J].