G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7167
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
URLhttps://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.
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