播下金融危机的种子：内生资产创造与逆向选择
Sowing the Seeds of Financial Crises: Endogenous Asset Creation and Adverse Selection
Review of Economic Studies · 2024 · [{"name": "Nicolas Caramp", "affiliation": ["University of California, Davis"]}]
中文摘要
什么播下了金融危机的种子，哪些政策可以帮助避免危机？本文构建一个模型，刻画资产的事前生产与金融市场中事后逆向选择之间的相互作用。提高市场价格的正向冲击会加剧低质量资产的生产，并可能增加金融市场崩溃的可能性。利率和流动性溢价是内生的，取决于金融市场的运行状况以及资产（私人与公共）的总供给。最优政策在经济事后的流动性需求与事前的生产激励之间进行权衡，可通过三种工具实施：政府债券、资产购买计划和交易税。公共流动性改善激励，但相较于私人市场干预意味着更高的无谓损失。最优政策并不排除私人市场崩溃，但能缓解总流动性的波动。
Abstract
Abstract What sows the seeds of financial crises, and what policies can help avoid them? I model the interaction between the ex-ante production of assets and ex-post adverse selection in financial markets. Positive shocks that increase market prices exacerbate the production of low-quality assets and can increase the likelihood of a financial market collapse. The interest rate and the liquidity premium are endogenous and depend on the functioning of financial markets as well as the total supply of assets (private and public). Optimal policy balances the economy’s liquidity needs ex-post with the production incentives ex-ante, and it can be implemented with three instruments: government bonds, asset purchase programs, and transaction taxes. Public liquidity improves incentives but implies a higher deadweight loss than private market interventions. Optimal policy does not rule out private market collapses but mitigates the fluctuations in total liquidity.