| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7167 |
| DP7167 Exchange Rates and Wages in an Integrated World | |
| Antonio Spilimbergo; Prachi Mishra | |
| 发表日期 | 2009-02-09 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Fire sales that occur during crises beg the question of why sufficient outside capital does not move in quickly to take advantage of fire sales, or in other words, why outside capital is so slow-moving. We propose an answer to this puzzle in the context of an equilibrium model of capital allocation. Keeping capital in liquid form in anticipation of possible fire sales entails costs in terms of foregone profitable investments. Set against this, those same profitable investments are rendered illiquid in future due to agency problems embedded with expertise. We show that a robust consequence of this trade-off between making investments today and waiting for arbitrage opportunities in future is the combination of occasional fire sales and limited stand-by capital that moves in only if fire-sale discounts are sufficiently deep. An extension of our model to several types of investments gives rise to a novel channel for contagion where sufficiently adverse shocks to one type can induce fire sales in other types that are fundamentally unrelated, provided arbitrage activity in these investments is sourced from a common pool of capital. |
| 主题 | Financial Economics |
| 关键词 | Arbitrage Crises Fire sales Illiquidity Spillover |
| URL | https://cepr.org/publications/dp7167 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535997 |
| 推荐引用方式 GB/T 7714 | Antonio Spilimbergo,Prachi Mishra. DP7167 Exchange Rates and Wages in an Integrated World. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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