Sowing the seeds of financial crises: Endogenous asset creation and adverse selection
N Caramp - Review of Economic Studies, 2024 - academic.oup.com
What sows the seeds of financial crises, and what policies can help avoid them? I model the
interaction between the ex-ante production of assets and ex-post adverse selection in …
interaction between the ex-ante production of assets and ex-post adverse selection in …
Savings gluts and financial fragility
We propose an incentive-based theory of how a savings glut produces financial fragility.
Originators must be incentivized to produce high-quality assets. Assets are distributed to …
Originators must be incentivized to produce high-quality assets. Assets are distributed to …
The anatomy of financial vulnerabilities and banking crises
We extend the framework of Aikman et al.(2017) that maps vulnerabilities in the US financial
system to a broader set of financial vulnerabilities in 27 advanced and emerging economies …
system to a broader set of financial vulnerabilities in 27 advanced and emerging economies …
The paradox of safe asset creation
A Segura, A Villacorta - Journal of Economic Theory, 2023 - Elsevier
Safe asset demand increases loan risk. This arises in a competitive model in which
securitization vehicles create safe assets by pooling loan payoffs purchased from loan …
securitization vehicles create safe assets by pooling loan payoffs purchased from loan …
Investment externalities in models of fire sales
P Kurlat - Journal of Monetary Economics, 2021 - Elsevier
Two alternative models of fire sales that yield the same aggregate predictions have different
normative implications. If fire sales result from marginal misallocation, a pecuniary …
normative implications. If fire sales result from marginal misallocation, a pecuniary …
[PDF][PDF] How i learned to stop worrying and love fire sales
P Kurlat - 2018 - nber.org
In canonical models with financial constraints, the possibility of fire sales creates a pecuniary
externality that results in ex-ante overinvestment. I show that this result is sensitive to the …
externality that results in ex-ante overinvestment. I show that this result is sensitive to the …
[PDF][PDF] Bank deregulation and the rise of institutional lending
We study the determinants of increased participation of non-bank financial intermediaries in
the market for syndicated loans prior to the 2008 financial crisis. Institutional investors who …
the market for syndicated loans prior to the 2008 financial crisis. Institutional investors who …
Security design in non-exclusive markets with asymmetric information
We study the problem of a seller (eg a bank) who is privately informed about the quality of
her asset and wants to exploit gains from trade with uninformed buyers (eg investors) by …
her asset and wants to exploit gains from trade with uninformed buyers (eg investors) by …
Asset quality cycles
M Fukui - Journal of Monetary Economics, 2018 - Elsevier
Systemic risk builds up during booms in an economy featuring asymmetric information in
asset markets, where investors' hidden effort choices endogenously determine asset quality …
asset markets, where investors' hidden effort choices endogenously determine asset quality …