英文标题：
《Inside Money, Procyclical Leverage, and Banking Catastrophes》
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作者：
Charles D. Brummitt, Rajiv Sethi, Duncan J. Watts
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最新提交年份：
2014
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英文摘要：
  We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief about the future value of certain long-term assets, but they have different objective functions; changes to this common belief result in portfolio adjustments and trade. Positive belief shocks induce banks to buy risky assets from investors, and the banks finance those purchases by issuing new short-term liabilities. Negative belief shocks induce banks to sell assets in order to reduce their chance of insolvency to a tolerably low level, and they supply more assets at lower prices, which can result in multiple market-clearing prices. A sufficiently severe negative shock causes the set of equilibrium prices to contract (in a manner given by a cusp catastrophe), causing prices to plummet discontinuously and banks to become insolvent. Successive positive and negative shocks of equal magnitude do not cancel; rather, a banking catastrophe can occur even if beliefs simply return to their initial state. Capital requirements can prevent crises by curtailing the expansion of balance sheets when beliefs become more optimistic, but they can also force larger price declines. Emergency asset price supports can be understood as attempts by a central bank to coordinate expectations on an equilibrium with solvency.
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中文摘要：
我们探讨了银行与外部投资者之间的互动模型，在该模型中，银行发行内部资金（据信可按面值兑换成货币的短期负债）的能力可能导致资产价格暴跌和银行普遍破产。银行和投资者对某些长期资产的未来价值有着共同的信念，但目标函数不同；这种普遍观念的改变会导致投资组合调整和交易。积极的信念冲击促使银行从投资者那里购买风险资产，银行通过发行新的短期负债为这些购买提供资金。负面的信念冲击促使银行出售资产，以将其破产的可能性降低到相当低的水平，并以较低的价格供应更多的资产，这可能导致多个市场清算价格。足够严重的负面冲击会导致均衡价格的集合收缩（以尖点灾难给出的方式），导致价格不连续下跌，银行破产。同等规模的连续正面和负面冲击不会相互抵消；相反，即使信念简单地回到初始状态，银行业也可能发生灾难。当人们的信念变得更加乐观时，资本要求可以通过限制资产负债表的扩张来预防危机，但也可以迫使价格出现更大幅度的下跌。紧急资产价格支持可以理解为中央银行试图将预期与偿付能力平衡。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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