Endogenously Declining Liquidity and Rollover-Risk Spillovers /

Endogenously Declining Liquidity and Rollover-Risk Spillovers /

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Bibliographic Details
Author / Creator:Doh, Hyun Soo, author.
Imprint:2017.
Ann Arbor : ProQuest Dissertations & Theses, 2017
Description:1 electronic resource (51 pages)
Language:English
Format: E-Resource Dissertations
Local Note:School code: 0330
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11715050
Hidden Bibliographic Details
Other authors / contributors:University of Chicago. degree granting institution.
ISBN:9780355077896
Notes:Advisors: Zhiguo He; Fernando Alvarez Committee members: Lars Hansen; Stavros Panageas.
Dissertation Abstracts International, Volume: 78-12(E), Section: A.
English
Summary:This paper studies a short-term debt market in which rollover risks spread across heterogeneous banks because a liquidation price of assets declines over time endogenously. To this aim, the paper uses a general equilibrium approach to analyze interactions between the primary and secondary debt markets. Specifically, in this economy, rollover decisions of creditors and takeover-timing decisions of potential buyers of assets determine the supply and demand for failed assets, respectively. A liquidation price clears the market in equilibrium. In fact, the paper assumes potential buyers have different asset-management abilities and highly skilled buyers are scarce. Thus, a less and less skilled buyer becomes a marginal buyer as time goes by, pushing down the liquidation price. This liquidation-driven pecuniary externality is what propagates rollover risks across different banks. The model further implies injecting emergency funds to only a tiny number of banks may trigger earlier runs on those banks. Extending debt maturities causes a similar consequence. The paper develops a new method to characterize transition dynamics of equilibrium analytically.
Description
Item Description:Advisors: Zhiguo He; Fernando Alvarez Committee members: Lars Hansen; Stavros Panageas.
Physical Description:1 electronic resource (51 pages)
ISBN:9780355077896

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