| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12134 |
| DP12134 Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects | |
| Romain Rancière; Jonas Heipertz; Amine Ouazad; Natacha Valla | |
| 发表日期 | 2017-07-07 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The paper uses disaggregated data on asset holdings and liabilities to estimate a general equilibrium model where each institution determines the diversification and size of the asset and liability sides of its balance-sheet. The model endogenously generates two types of financial networks: (i) a network of institutions when two institutions share common asset or liability holdings or when an institution holds an asset that is the liability of another. In both cases demand/supply decisions by one institution affect the value of other institutions' holdings/liabilities, (ii) a network of financial instruments implied by the distribution of assets and liabilities within and across institutions. A change in the price of one asset induces change in demand/supply for all other assets, thus generating price comovement. The general equilibrium analysis predicts the propagation of real, financial and regulatory shocks as well as the change in the network caused by the shock. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Financial networks Asset pricing General equilibrium model of asset trade Heterogenous beliefs Dynamic factors |
| URL | https://cepr.org/publications/dp12134 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540945 |
| 推荐引用方式 GB/T 7714 | Romain Rancière,Jonas Heipertz,Amine Ouazad,et al. DP12134 Balance-Sheet Diversification in General Equilibrium: Identification and Network Effects. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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