| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24406 |
| 来源ID | Working Paper 24406 |
| Financial Centrality and Liquidity Provision | |
| Arun G. Chandrasekhar; Robert Townsend; Juan Pablo Xandri | |
| 发表日期 | 2018-03-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We study an endowment economy in which agents face income risk, as if uncertain returns on a portfolio, and agents can only make transfers in states when they are actively participating in the market. Besides income risk, agents also have limited and stochastic market access, with a probability distribution governed by an underlying social network. While network connections may serve to dissipate shocks, they may also provide obstacles to the sharing of risk, as when participation frictions are generated through the network. We identify and quantify the value of key players in terms of whether they are likely to be able to smooth the resulting market participation risk and how valuable that smoothing would be when they are there. We define financial centrality in economic terms, given the model, as the ex ante marginal social value of injecting an infinitesimal amount of liquidity to the agent. We show that the most financially central agents are not only those who trade often – as in standard network models – but are more likely to trade when there are few traders, when income risk is high, when income shocks are positively correlated, when attitudes toward risk are more sensitive in the aggregate, when there are distressed institutions, and when there are tail risks. We extend our framework to allow for endogenous market participation. Observational evidence from village risk sharing network data is consistent with our model. |
| 主题 | Microeconomics ; Households and Firms ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Industrial Organization ; Market Structure and Firm Performance ; Development and Growth ; Development |
| URL | https://www.nber.org/papers/w24406 |
| 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/582080 |
| 推荐引用方式 GB/T 7714 | Arun G. Chandrasekhar,Robert Townsend,Juan Pablo Xandri. Financial Centrality and Liquidity Provision. 2018. |
| 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 | ||
| w24406.pdf（725KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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