Asset illiquidity and dynamic bank capital requirements

研究成果: Article査読

3 被引用数 (Scopus)

抄録

This paper introduces banks into a dynamic stochastic general equilibrium model by featuring asymmetric information as the underlying friction for banking. Asymmetric information about asset qualities causes a lemons problem in the asset market. In this environment, banks can issue liquid liabilities by pooling illiquid assets contaminated by asymmetric information. The liquidity transformation by banks results in a minimum value of common equity that banks must issue to avoid a run. This value increases with downside risk to the asset price and the expected degree of asset illiquidity. It rises during a boom if productivity shocks cause the business cycle.

本文言語English
ページ(範囲)291-317
ページ数27
ジャーナルInternational Journal of Central Banking
10
3
出版ステータスPublished - 2014 9 1
外部発表はい

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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