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The fragility of short-term secured funding markets
Martin, Antoine
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Skeie, David
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Thadden, Ernst-Ludwig von
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URL:
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https://www.newyorkfed.org/research/staff_reports/...
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Weitere URL:
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http://citeseerx.ist.psu.edu/viewdoc/download?doi=...
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Dokumenttyp:
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Arbeitspapier
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Erscheinungsjahr:
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2013
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Titel einer Zeitschrift oder einer Reihe:
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Staff Reports / Federal Reserve Bank of New York
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Band/Volume:
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630
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Ort der Veröffentlichung:
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New York, NY
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Verlag:
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Federal Reserve Bank of New York
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Verwandte URLs:
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Microeconomics and Finance (von Thadden (2004-)
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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This paper develops a model of financial institutions that borrow short term and invest in long-term assets that can be traded in frictionless markets. Because these financial intermediaries perform maturity transformation, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can occur as a result of changing market expectations. We show that the extent to which borrowers can ward off an individual run depends on whether it has sufficient liquidity, collateral, and asset liquidation capacity. These determinants are endogenous and depend on the borrower's balance sheet, in terms of asset market exposure and leverage, and on fundamentals, such as productivity and size. Moreover, systemic runs are possible if shocks to the valuation of collateral held by outside investors are sufficiently strong and uniform, and if the system as a whole is exposed to high short-term funding risk.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
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