A Model of Shadow Banking
构建了一个影子银行模型，银行通过证券化将贷款打包为无风险债务融资，模型解释了银行资产与杠杆同向变动、市场互联性增强以及分散化反而增加系统性风险等现象，并指出理性预期下影子银行系统稳定且提升福利，但投资者忽视尾部风险时会引发危机。
ABSTRACT We present a model of shadow banking in which banks originate and trade loans, assemble them into diversified portfolios, and finance these portfolios externally with riskless debt. In this model: outside investor wealth drives the demand for riskless debt and indirectly for securitization, bank assets and leverage move together, banks become interconnected through markets, and banks increase their exposure to systematic risk as they reduce idiosyncratic risk through diversification. The shadow banking system is stable and welfare improving under rational expectations, but vulnerable to crises and liquidity dry‐ups when investors neglect tail risks.