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초록
영어
This paper presents a contagious liquidity crises model for nonfinancial firms in which a large creditor influences the extent to which the contagion spreads across firms. We consider a sequential framework where two rollover games occur one after another. A liquidity crisis in one firm triggers a liquidity crisis in another firm through changes in the risk attitudes of creditors from the wealth effect. We show that the presence of a large creditor with a sufficient asset size reduces the contagion effect. Moreover, a concentration of a large creditor’s loan portfolio towards the former firm increases the contagion effect. (JEL G01, G33, D82, D83)
목차
Abstract
1. INTRODUCTION
2. THE MODEL
3. SOLVING THE MODEL
3.1. Equilibrium for Firm 1
3.2. Equilibrium for Firm 2
4. CONTAGION WITH A LARGE CREDITOR
4.1. What is Contagion?
4.2. Comparative Statics Analyses
5. CONCLUDING REMARKS
REFERENCES
1. INTRODUCTION
2. THE MODEL
3. SOLVING THE MODEL
3.1. Equilibrium for Firm 1
3.2. Equilibrium for Firm 2
4. CONTAGION WITH A LARGE CREDITOR
4.1. What is Contagion?
4.2. Comparative Statics Analyses
5. CONCLUDING REMARKS
REFERENCES
저자정보
참고문헌
자료제공 : 네이버학술정보