期刊
OPERATIONS RESEARCH
卷 64, 期 5, 页码 1073-1088出版社
INFORMS
DOI: 10.1287/opre.2015.1464
关键词
systemic risk; diversification; leverage; endogenous risk; financial innovation
资金
- European Union, Seventh Framework Programme FP7 [CRISIS-ICT-2011-288501]
- project SYRTO - European Union under the 7th Framework Programme FP7-SSH [320270]
By exploiting basic common practice accounting and risk-management rules, we propose a simple analytical dynamical model to investigate the effects of microprudential changes on macroprudential outcomes. Specifically, we study the consequence of the introduction of a financial innovation that allows reducing the cost of portfolio diversification in a financial system populated by financial institutions having capital requirements in the form of value-at-risk (VaR) constraint and following standard mark-to-market and risk-management rules. We provide a full analytical quantification of the multivariate feedback effects between investment prices and bank behavior induced by portfolio rebalancing in presence of asset illiquidity and show how changes in the constraints of the bank portfolio optimization endogenously drive the dynamics of the balance sheet aggregate of financial institutions and, thereby, the availability of bank liquidity to the economic system and systemic risk. The model shows that when financial innovation reduces the cost of diversification below a given threshold, the strength (because of higher leverage) and coordination (because of similarity of bank portfolios) of feedback effects increase, triggering a transition from a stationary dynamics of price returns to a nonstationary one characterized by steep growths (bubbles) and plunges (bursts) of market prices.
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