Fire sales and the financial accelerator

被引：11
|
作者：
Choi, Woon Gyu [2 ]
Cook, David [1 ]
机构：
[1] Hong Kong Univ Sci & Technol, Dept Econ, Hong Kong, Hong Kong, Peoples R China
[2] Int Monetary Fund, IMF Inst, Washington, DC 20431 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2012年 / 59卷 / 04期
关键词：
MONETARY-POLICY; AGENCY COSTS; LIABILITY DOLLARIZATION; ASSET PRICES; SUDDEN STOPS; NET WORTH; CREDIT; LIQUIDATION; INVESTMENT; BANKRUPTCY;
D O I：
10.1016/j.jmoneco.2012.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
During financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and pro-cyclical recovery rates in a dynamic stochastic general equilibrium model of the financial accelerator. Links between endogenous recovery rates, risk premia, and default risk generate a liquidity spiral, magnifying financial accelerator effects. We illustrate how collateral liquidation and monetary policy alter the real impact of financial shocks operating through macro-financial linkages; and the way a government subsidy on collateral liquidity and required liquidity buffers can help dampen the liquidity spiral by shoring up recovery rates. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码：336 / 351
页数：16
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