| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP8444
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| DP8444 Strategic Complementarity, Fragility, and Regulation |
| Xavier Vives
|
| 发表日期 | 2011-06-01
|
| 出版年 | 2011
|
| 语种 | 英语
|
| 摘要 | The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is an important determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure (precisions of public and private information), and the level of stress indicators in the market impinge on strategic complementarity and fragility. The model distinguishes between solvency and liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the probabilities of insolvency and illiquidity. It is found that in a more competitive environment (with higher return on short-term debt) the solvency requirement has to be strengthened, and in an environment where the fire sales penalty is higher and fund managers are more conservative the liquidity requirement has to be strengthened while the solvency one relaxed. Higher disclosure or introducing a derivatives market may backfire, aggravating fragility (in particular when the asset side of a financial intermediary is opaque). It is found that the regulator should set together disclosure and prudential policy. The model is applied to interpret the 2007 run on SIV and ABCP conduits. |
| 主题 | Financial Economics
|
| 关键词 | Crises
Disclosure
Illiquidity risk
Insolvency risk
Leverage ratio
Liquidity ratio
Opaqueness
Panic
Run
Stress
|
| URL | https://cepr.org/publications/dp8444
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537272
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推荐引用方式
GB/T 7714 |
Xavier Vives. DP8444 Strategic Complementarity, Fragility, and Regulation. 2011.
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