The Good, the Bad, and the Missed Boom

IF 6.8 1区 经济学 Q1 BUSINESS, FINANCE Review of Financial Studies Pub Date : 2022-03-11 DOI:10.1093/rfs/hhac014
E. Perotti, Magdalena Rola-janicka
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Abstract

Some credit booms result in financial crises. While excessive risk-taking could plausibly explain the boom-to-bust cycle, many investors do not anticipate increasing risk. We show that credit booms may be misunderstood as being driven by high productivity because opaque bank assets disguise risk incentives. Balanced funding relative to productive prospects can sustain prudent lending (good boom), whereas funding imbalances may induce high risk exposure and boost asset prices (bad boom) or lead to asset underpricing and insufficient lending (missed boom). Rational agents drawing inference from prices make mistakes that can amplify the effect of funding imbalances and propagate risk.
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好的、坏的和错过的繁荣
一些信贷繁荣导致了金融危机。尽管过度冒险可能合理地解释了繁荣到萧条的周期,但许多投资者预计风险不会增加。我们表明,信贷繁荣可能被误解为由高生产率驱动,因为不透明的银行资产掩盖了风险激励。相对于生产前景而言,平衡的资金可以维持谨慎的贷款(良好的繁荣),而资金失衡可能会导致高风险敞口并推高资产价格(糟糕的繁荣)或导致资产定价过低和贷款不足(错过繁荣)。从价格中推断的理性主体犯下的错误可能会放大资金失衡的影响并传播风险。
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来源期刊
CiteScore
16.00
自引率
2.40%
发文量
83
期刊介绍: The Review of Financial Studies is a prominent platform that aims to foster and widely distribute noteworthy research in financial economics. With an expansive editorial board, the Review strives to maintain a balance between theoretical and empirical contributions. The primary focus of paper selection is based on the quality and significance of the research to the field of finance, rather than its level of technical complexity. The scope of finance within the Review encompasses its intersection with economics. Sponsoring The Society for Financial Studies, the Review and the Society appoint editors and officers through limited terms.
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