Risk and liquidity in a system context
AbstractThis paper explores the pricing of debt in a financial system where the assets that borrowers hold to meet their obligations include claims against other borrowers. Assessing financial claims in a system context captures features that are missing in a partial equilibrium setting, such as liquidity spillovers across financial institutions resulting from expansions and contractions of balance sheets. Aggregate liquidity can be seen as the rate of growth of financial sector balance sheets.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Intermediation.
Volume (Year): 17 (2008)
Issue (Month): 3 (July)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/622875
Other versions of this item:
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- M4 - Business Administration and Business Economics; Marketing; Accounting - - Accounting
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