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Risk-sharing and the Creation of Systemic

Viral V. AcharyaAaditya M. IyerRangarajan K. Sundaram

出版	2020
URL	http://books.google.com.hk/books?id=H8QPzgEACAAJ&hl=&source=gbs_api

註釋

"The authors 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. They 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."--Abstract