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Endogenously Declining Liquidity and Rollover-Risk Spillovers.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Endogenously Declining Liquidity and Rollover-Risk Spillovers./
Author:	Doh, Hyun Soo.
Description:	1 online resource (51 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355077896

Endogenously Declining Liquidity and Rollover-Risk Spillovers.
Doh, Hyun Soo.

Endogenously Declining Liquidity and Rollover-Risk Spillovers. - 1 online resource (51 pages)

Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.

Thesis (Ph.D.)--The University of Chicago, 2017.

Includes bibliographical references

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.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355077896Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Endogenously Declining Liquidity and Rollover-Risk Spillovers.
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245 1 0 $a Endogenously Declining Liquidity and Rollover-Risk Spillovers.
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300 $a 1 online resource (51 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertation Abstracts International, Volume: 78-12(E), Section: A.
500 $a Advisers: Zhiguo He; Fernando Alvarez.
502 $a Thesis (Ph.D.)--The University of Chicago, 2017.
504 $a Includes bibliographical references
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.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Economics. $3 555568
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Chicago. $b Economics and Business. $3 1185379
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10273016 $z click for full text (PQDT)