中文摘要
既然许多风险可以对冲, 为何还会发生贱卖抛售? 我们研究 Brunnermeier 和 Sannikov (2014, American Economic Review 104, 379–421) 模型的一个版本, 其中所有基本面风险均可无摩擦地对冲。我们的分析表明, 贱卖抛售本质上是自我实现的: 基本面冲击永远不会引发贱卖抛售, 且存在一个有效且安全的均衡。另一方面, 也存在这样一个均衡, 其中经济主体在非基本面冲击下协调进行贱卖抛售。一个基于感知基本面风险趋于无穷小的简单精炼会消除安全均衡, 并将贱卖抛售均衡选为唯一结果。
Abstract
ABSTRACT Why do fire sales occur if many risks are hedgeable? We study a version of Brunnermeier and Sannikov (2014, American Economic Review 104, 379–421) in which all fundamental risks can be hedged frictionlessly. Our analysis shows that fire sales are inherently self‐fulfilling. Fundamental shocks can never cause fire sales, and an efficient, safe equilibrium exists. On the other hand, there exists an equilibrium in which agents coordinate fire sales on nonfundamental shocks. A simple refinement based on vanishingly small perceived fundamental risk eliminates the safe equilibrium and selects the fire‐sale equilibrium as the unique outcome.