Liquidity Pools, Risk Sharing, and Financial Contagion
This paper reevaluates the Allen-Gale (2000) analysis of interbank deposits to explain financial contagion. This paper modifies the pecking order of asset liquidation developed in Allen-Gale, which is essential in fragility analysis. Furthermore, we also provide a claim structure called "liquid...
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| Veröffentlicht in: | Journal of financial services research 2004-02, Vol.25 (1), p.5-23 |
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| container_title | Journal of financial services research |
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| creator | Sáez, Lawrence Shi, Xianwen |
| description | This paper reevaluates the Allen-Gale (2000) analysis of interbank deposits to explain financial contagion. This paper modifies the pecking order of asset liquidation developed in Allen-Gale, which is essential in fragility analysis. Furthermore, we also provide a claim structure called "liquidity pool" that can both achieve risk sharing and prevent financial contagion across regions when asymmetric information about bank assets is absent. This model can partly explain why bank panics reduced substantially after the founding of the Fed and the role of IMF in regional financial crises. [PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1023/B:FINA.0000008662.59653.33 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0920-8550 |
| ispartof | Journal of financial services research, 2004-02, Vol.25 (1), p.5-23 |
| issn | 0920-8550 1573-0735 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37840520 |
| source | RePEc; SpringerNature Journals; EBSCOhost Business Source Complete |
| subjects | Banking Banking industry Central banks Deposit insurance Economic conditions Economic models Financial analysis financial contagion. Financial crisis Financial intermediation Financial models Liquidation Liquidity Regional banks Regions Risk sharing Studies |
| title | Liquidity Pools, Risk Sharing, and Financial Contagion |
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