Risk and liquidity in a system context

被引：82

作者：

Shin, Hyun Song ^{[1
]}

机构：

[1] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08544 USA

来源：

JOURNAL OF FINANCIAL INTERMEDIATION | 2008年 / 17卷 / 03期

基金：

英国经济与社会研究理事会;

关键词：

D O I：

10.1016/j.jfi.2008.02.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting, such as liquidity spillovers across financial institutions resulting from expansions and contractions of balance sheets. Aggregate liquidity can be seen as the rate of growth of financial sector balance sheets. (C) 2008 Elsevier Inc. All rights reserved.

引用

页码：315 / 329

页数：15

共 29 条

[1] Asset pricing with liquidity risk
Acharya, VV
Pedersen, LH
[J]. JOURNAL OF FINANCIAL ECONOMICS, 2005, 77 (02) : 375 - 410
[2] ADRIAN T, 2007, LIQUIDITY LEVERAGE
[3] Financial intermediaries and markets
Allen, F
Gale, D
[J]. ECONOMETRICA, 2004, 72 (04) : 1023 - 1061
[4] BERNANKE B, 1989, AM ECON REV, V79, P14
[5] BERNANKE BS, 1988, AM ECON REV, V78, P435
[6] Boss M., 2004, LECT NOTES COMPUTER, V3038, P1070
[7] PRICES OF STATE-CONTINGENT CLAIMS IMPLICIT IN OPTION PRICES
BREEDEN, DT
LITZENBERGER, RH
[J]. JOURNAL OF BUSINESS, 1978, 51 (04) : 621 - 651
[8] BRUNNERMEIER M, 2005, MARKET LIQUIDITY FUN
[9] Predatory trading
Brunnermeier, MK
Pedersen, LH
[J]. JOURNAL OF FINANCE, 2005, 60 (04) : 1825 - 1863
[10] CIFUENTES R. G., 2005, 264 BANK ENGL

← 1 2 3 →