| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8476 |
| DP8476 Asset Commonality, Debt Maturity and Systemic Risk | |
| Franklin Allen; Elena Carletti; Ana Babus | |
| 发表日期 | 2011-07-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We develop a model in which asset commonality and short-term debt of banks interact to generate excessive systemic risk. Banks swap assets to diversify their individual risk. Two asset structures arise. In a clustered structure, groups of banks hold common asset portfolios and default together. In an unclustered structure, defaults are more dispersed. Portfolio quality of individual banks is opaque but can be inferred by creditors from aggregate signals about bank solvency. When bank debt is short-term, creditors do not roll over in response to adverse signals and all banks are inefficiently liquidated. This information contagion is more likely under clustered asset structures. In contrast, when bank debt is long-term, welfare is the same under both asset structures. |
| 主题 | Financial Economics |
| 关键词 | Interim information Rollover risk. Short-term debt |
| URL | https://cepr.org/publications/dp8476 |
| 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/537313 |
| 推荐引用方式 GB/T 7714 | Franklin Allen,Elena Carletti,Ana Babus. DP8476 Asset Commonality, Debt Maturity and Systemic Risk. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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