Self-Fulfilling Fire Sales: Fragility of Collateralized Short-Term Debt Markets
研究抵押短期债务虽能减少借款人冒险行为，但可能引发多重均衡和系统性挤兑，导致违约风险上升、抵押品折价甩卖、信贷成本增加和信贷配给扩大。资产价格担保、杠杆上限和中央清算有助于稳定市场。
Abstract This paper shows that collateralized short-term debt, although privately optimal for reducing borrowers’ risk-taking incentives, can induce fragility (multiple equilibria). Despite sequential-service property being absent in collateralized debt, such as repurchase agreements, a systemic run can arise, featuring large increases in default risks, fire-sale discounts of collateral, cost of credit, and amount of credit rationing. Asset price guarantees, leverage caps, and central clearing promote stability and welfare. Using global games techniques, I show that a systemic run is more likely in bad times, and a large enough asset price guarantee reduces run risks.