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Liquidity sharing and financial cont...

Nash, John Gerard Francis.

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Liquidity sharing and financial contagion.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Liquidity sharing and financial contagion./
Author:	Nash, John Gerard Francis.
Description:	111 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10129477
ISBN:	9781339873688

Liquidity sharing and financial contagion.
Nash, John Gerard Francis.

Liquidity sharing and financial contagion. - 111 p.

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)--The University of Chicago, 2016.

This dissertation studies multi-lateral incentive provision and contagion in the financial system. I develop a model of the financial system with liquidity shocks, moral hazard, and asymmetric information. Banks share liquidity by forming lending relationships with and without commitment. The decision to make lending relationships committed or uncommitted involves a trade-off between liquidity provision and moral hazard. I highlight how uncommitted lending relationships, such as the credit lines between banks in the federal funds market, expose banks to potential liquidity shortages. However, liquidity shortages, which induce early default, can also align banks' screening incentives. If banks collectively use uncommitted lending relationships, incentive alignment can be multi-lateral. Liquidity shortages can exacerbate or ameliorate contagion, depending on information quality. These effects result from informed banks exerting externalities on uninformed banks. The model suggests the "tightness" of connections in the financial system should be an active consideration for policies targeting systemic risk-mitigation.

ISBN: 9781339873688Subjects--Topical Terms:

542899
Finance.

Liquidity sharing and financial contagion.
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100 1 $a Nash, John Gerard Francis. $3 3194842
245 1 0 $a Liquidity sharing and financial contagion.
300 $a 111 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
500 $a Adviser: Douglas Diamond.
502 $a Thesis (Ph.D.)--The University of Chicago, 2016.
520 $a This dissertation studies multi-lateral incentive provision and contagion in the financial system. I develop a model of the financial system with liquidity shocks, moral hazard, and asymmetric information. Banks share liquidity by forming lending relationships with and without commitment. The decision to make lending relationships committed or uncommitted involves a trade-off between liquidity provision and moral hazard. I highlight how uncommitted lending relationships, such as the credit lines between banks in the federal funds market, expose banks to potential liquidity shortages. However, liquidity shortages, which induce early default, can also align banks' screening incentives. If banks collectively use uncommitted lending relationships, incentive alignment can be multi-lateral. Liquidity shortages can exacerbate or ameliorate contagion, depending on information quality. These effects result from informed banks exerting externalities on uninformed banks. The model suggests the "tightness" of connections in the financial system should be an active consideration for policies targeting systemic risk-mitigation.
590 $a School code: 0330.
650 4 $a Finance. $3 542899
650 4 $a Banking. $2 bicssc $3 1557594
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710 2 $a The University of Chicago. $b Business. $3 1671506
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856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10129477