Heipertz, Jonas
[Verfasser:in]
;
Ouazad, Amine
[Sonstige Person, Familie und Körperschaft];
Valla, Natacha
[Sonstige Person, Familie und Körperschaft];
Rancière, Romain
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Balance-Sheet Diversification in General Equilibrium
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, July 2017
Erschienen in:NBER working paper series ; no. w23572
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w23572
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
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Beschreibung:
The paper uses disaggregated data on asset holdings and liabilities to estimate a general equilibrium model where each institution determines the diversification and size of the asset and liability sides of its balance-sheet. The model endogenously generates two types of financial networks: (i) a network of institutions when two institutions share common asset or liability holdings or when an institution holds an asset that is the liability of another. In both cases demand/supply decisions by one institution affect the value of other institutions' holdings/liabilities, (ii) a network of financial instruments implied by the distribution of assets and liabilities within and across institutions. A change in the price of one asset induces change in demand/supply for all other assets, thus generating price comovement. The general equilibrium analysis predicts the propagation of real, financial and regulatory shocks as well as the change in the network caused by the shock