| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17115 |
| 来源ID | Working Paper 17115 |
| A Model of Shadow Banking | |
| Nicola Gennaioli; Andrei Shleifer; Robert W. Vishny | |
| 发表日期 | 2011-06-09 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We present a model of shadow banking in which financial intermediaries originate and trade loans, assemble these loans into diversified portfolios, and then finance these portfolios externally with riskless debt. In this model: i) outside investor wealth drives the demand for riskless debt and indirectly for securitization, ii) intermediary assets and leverage move together as in Adrian and Shin (2010), and iii) intermediaries increase their exposure to systematic risk as they reduce their idiosyncratic risk through diversification, as in Acharya, Schnabl, and Suarez (2010). Under rational expectations, the shadow banking system is stable and improves welfare. When investors and intermediaries neglect tail risks, however, the expansion of risky lending and the concentration of risks in the intermediaries create financial fragility and fluctuations in liquidity over time. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Financial Institutions |
| URL | https://www.nber.org/papers/w17115 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574790 |
| 推荐引用方式 GB/T 7714 | Nicola Gennaioli,Andrei Shleifer,Robert W. Vishny. A Model of Shadow Banking. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17115.pdf（377KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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