Login
Welcome:
Guest
Guest
Search for:
Browse:
Product Information:
Resources:
Home > Collective risk management in a flight to quality...
Emerald Management Reviews
ISSN: 1474-6085
Online from: 1988
Information: Product overview | Accredited journal list |
Accreditation board |
About the list
Other: Publishers | Citations of Excellence
Collective risk management in a flight to quality episode
| Title: | Collective risk management in a flight to quality episode |
|---|---|
| Author(s): | Caballero R J, Krishnamurthy A |
| Journal: | Journal of Finance, Oct 2008, Volume: 63 Issue: 5 pp.2195-2230 (36 pages) |
| Issn: | 0022-1082 |
| Keywords: | Central Banks, Credit, Liquidity, Loans, Uncertainty, Usa |
| Article type: | Conceptual paper |
| Reference: | 38AA758 (Permanent URL) |
| Abstract: |
Design/methodology/approach - Describes financial crises typified by a flight to quality, and models liquidity shortages with Knight's (1921) uncertainty. Analyses its equilibrium with agent decision making and a credit crunch. Findings - Finds that a flight to quality occurs in a financial crisis and the central bank intervenes with liquidity to overcome conservatism, as a last resort policy to avoid moral hazard risks. Research limitations/implications - Implies that this model can explain how crises were avoided, and that a liquidation model would be inadequate. Suggests applying to the credit derivatives market and financial innovations. Practical implications - Argues strongly that the central bank should be a lender of last resort to overcome Knightian uncertainty. Originality/value - Presents a model that could have been applied to the subprime crisis, but in the event was overtaken by more extreme events. |
Document Options:
External resource(s)
Emerald has identified 1 external resource(s) for this citation:
Marked list
.
|
|
