Endogenously Declining Liquidity and Rollover-Risk Spillovers /
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| 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 |
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| 100 | 1 | |a Doh, Hyun Soo, |e author. | |
| 245 | 1 | 0 | |a Endogenously Declining Liquidity and Rollover-Risk Spillovers / |c Hyun Soo Doh. |
| 260 | |c 2017. | ||
| 264 | 1 | |a Ann Arbor : |b ProQuest Dissertations & Theses, |c 2017 | |
| 300 | |a 1 electronic resource (51 pages) | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 500 | |a Advisors: Zhiguo He; Fernando Alvarez Committee members: Lars Hansen; Stavros Panageas. | ||
| 502 | |b Ph.D. |c University of Chicago, Division of the Social Sciences, Department of Economics; Booth School of Business |d 2017. | ||
| 510 | 4 | |a Dissertation Abstracts International, |c Volume: 78-12(E), Section: A. | |
| 520 | |a 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. | ||
| 546 | |a English | ||
| 590 | |a School code: 0330 | ||
| 690 | |a Finance. | ||
| 690 | |a Economics. | ||
| 710 | 2 | |a University of Chicago. |e degree granting institution. |0 http://id.loc.gov/authorities/names/n79058404 |1 http://viaf.org/viaf/143657677 | |
| 720 | 1 | |a Zhiguo He |e degree supervisor. | |
| 720 | 1 | |a Fernando Alvarez |e degree supervisor. | |
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