Leverage, Moral Hazard, and Liquidity
研究了金融公司通过短期债务融资购买资产时，经济恶化引发的风险转移如何限制债务展期，进而影响资产市场流动性，并发现良好经济前景下高杠杆公司进入会加剧流动性枯竭。
ABSTRACT Financial firms raise short‐term debt to finance asset purchases; this induces risk shifting when economic conditions worsen and limits their ability to roll over debt. Constrained firms de‐lever by selling assets to lower‐leverage firms. In turn, asset–market liquidity depends on the system‐wide distribution of leverage, which is itself endogenous to future economic prospects. Good economic prospects yield cheaper short‐term debt, inducing entry of higher‐leverage firms. Consequently, adverse asset shocks in good times lead to greater de‐leveraging and sudden drying up of market and funding liquidity.