G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15269
DP15269 Risk-Sharing and the Creation of Systemic Risk
Viral Acharya; Aaditya M. Iyer; Rangarajan K Sundaram
发表日期2020-09-09
出版年2020
语种英语
摘要We address the paradox that financial innovations aimed at risk-sharing appear to have made the world riskier. Financial innovations facilitate hedging idiosyncratic risks among agents; however, aggregate risks can be hedged only with liquid assets. When risk-sharing is primitive, agents self-hedge and hold more liquid assets; this buffers aggregate risks, resulting in few correlated failures compared to when there is greater risk sharing. We apply this insight to build a model of a clearinghouse to show that as risk-sharing improves, aggregate liquidity falls but correlated failures rise. Public liquidity injections, for example, in the form of a lender-of-last-resort can reduce this systemic risk ex post, but induce lower ex-ante levels of private liquidity, which can in turn aggravate welfare costs from such injections.
主题Financial Economics
URLhttps://cepr.org/publications/dp15269
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/544244
推荐引用方式
GB/T 7714
Viral Acharya,Aaditya M. Iyer,Rangarajan K Sundaram. DP15269 Risk-Sharing and the Creation of Systemic Risk. 2020.
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