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 toward the former firm increases the contagion effect.
JEL: G01, G33, D82, D83
Key Words: Contagion; Large Creditor; Liquidity Crisis; Global Game; Wealth Effect; Coordination Failure
학회소식
[2016년 제 3차] A Large Creditor in Contagious Liquidity Crises
작성자 : 관리자
조회수 : 1034
게시일 :
2016-08-24
