Liquidity Risk and Contagion
研究互联金融机构在监管偿付约束和按市值计价下的流动性风险，发现小冲击可通过资产抛售和价格下跌引发传染性倒闭，并比较了流动性要求与资本要求的效果。
This paper explores liquidity risk in a system of interconnected financial institutions when these institutions are subject to regulatory solvency constraints and mark their assets to market.When the market's demand for illiquid assets is less than perfectly elastic, sales by distressed institutions depress the market prices of such assets.Marking to market of the asset book can induce a further round of endogenously generated sales of assets, depressing prices further and inducing further sales.Contagious failures can result from small shocks.We investigate the theoretical basis for contagious failures and quantify them through simulation exercises.Liquidity requirements on institutions can be as effective as capital requirements in forestalling contagious failures.