منابع مشابه
The Dark Side of Liquidity Creation: Leverage and Systemic Risk
This paper exposes a fundamental tension between the micro-prudential objective of subjecting banks to greater discipline through debt markets and the macro-prudential objective of containing systemic risk. We show that banks are illiquid due to the inability of bankers to credibly pre-commit to asset choices. Bank debt can reduce this illiquidity by disciplining bankers with the threat of prem...
متن کاملAggregate Leverage and Preemptive Selling by Individual Financial Institutions
Our paper studies an economy in which each financial institution takes into account that if it has to sell its assets after others have already sold, the price will be lower. This causes preemptive selling, driven not by actual margin calls, but by the fear of future margin calls. Financial institutions cannot determine their optimal capitalizations in isolation, but need to know the aggregate ...
متن کاملShort-term Debt and Systemic Risk∗
We study the liability structure decisions(short-term debt choices) of banks in a general equilibrium setting with multiple banks, depositors and external investors. The externalities appear through secondary market prices (positive) and overall systemic risk (negative). The private optimal choices are positively (negatively) correlated when the sign of the aggregate externality is positive (ne...
متن کاملShort-Selling Attacks and Creditor Runs
This paper investigates the mechanism through which short selling of a banks stocks can trigger the failure of the bank. In the model, creditors, who learn information from stock prices, will grow increasingly unsure about the banks true fundamentals in facing noisier stock prices; thus a run on the bank is more likely because of creditors concave payo¤. Understanding this, speculators condu...
متن کاملShort Selling and Default Prediction: International Evidence
We examine how short selling affects the accuracy of default prediction models. Our results indicate that a dynamic multiperiod logit model accurately predicts 18 percentage points more actual occurrences of default in countries where short-selling is widely practiced. Moreover, our analyses indicate that short selling has virtually no impact on the proportion of inaccurately classified non-def...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2350125