A Model of Shadow Banking

被引：294

作者：

Gennaioli, Nicola

Shleifer, Andrei ^{[1
]}

Vishny, Robert W. ^{[2
]}

机构：

[1] Harvard Univ, Cambridge, MA 02138 USA

[2] Univ Chicago, Chicago, IL 60637 USA

来源：

JOURNAL OF FINANCE | 2013年 / 68卷 / 04期

关键词：

RARE DISASTERS; LIQUIDITY;

D O I：

10.1111/jofi.12031

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase their exposure to systematic risk as they reduce idiosyncratic risk through diversification. The shadow banking system is stable and welfare improving under rational expectations, but vulnerable to crises and liquidity dry-ups when investors neglect tail risks.

引用

页码：1331 / 1363

页数：33

共 53 条

[1] Securitization without risk transfer [J].