Strategic Liquidity Mismatch and Financial Sector Stability
研究了银行是否根据竞争对手的流动性错配政策来制定自己的政策，以及这些集体决策对金融稳定的影响。发现银行会模仿风险更高的竞争对手，从而增加自身违约风险和系统性风险。
Abstract This paper examines whether banks strategically incorporate their competitors’ liquidity mismatch policies when determining their own and the impact of these collective decisions on financial stability. Using a novel identification strategy exploiting the presence of partially overlapping peer groups, I show that banks’ liquidity transformation activity is driven by that of their peers. These correlated decisions are concentrated on the asset side of riskier banks and are asymmetric, with mimicking occurring only when competitors take more risk. Accordingly, this strategic behavior increases banks’ default risk and overall systemic risk, highlighting the importance of regulating liquidity risk from a macroprudential perspective. ReceivedMay 4, 2016; editorial decision January 1, 2019 by Editor Philip Strahan. Author has furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.