Balance Sheet Channel with Information-Trading Frictions in Secondary Markets
研究二级市场中信息分散和不完全竞争如何与财务约束相互作用，导致错误定价、风险错配、投资扭曲和产出波动加剧，并探讨最优政策如何通过补贴交易来提升流动性、稳定经济周期。
Abstract This article develops a theory of the balance sheet channel that places a central emphasis on the liquidity of secondary markets for macro-contingent claims. We show that the presence of dispersed information and imperfect competition in secondary markets, interacted with financial constraints, results in mispricing and misallocation of aggregate risk, distorts aggregate investment, and exacerbates asset price and output volatility. The magnitude of balance sheet amplification effects becomes endogenously tied to the severity of market frictions, which likely vary over time and across economies. The laissez-faire equilibrium is constrained inefficient due to a novel externality originating from rent-extracting behaviour of agents in secondary markets. Optimal corrective policy boosts secondary market liquidity through subsidies to trade in macro-contingent claims, which enhances aggregate risk-sharing and stabilizes the business cycle.