| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15269 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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