Risk and liquidity in a system context

Hyun Song Shin

Journal of Financial Intermediation, 2008, vol. 17, issue 3, 315-329

Abstract: This 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.

Date: 2008
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Working Paper: Risk and liquidity in a system context (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinin:v:17:y:2008:i:3:p:315-329

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