A Large Creditor in Contagious Liquidity Crises

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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).
Publisher
ELSEVIER
Issue Date
2023-01
Language
English
Article Type
Article
Citation

JOURNAL OF BANKING & FINANCE, v.146, no.C

ISSN
0378-4266
DOI
10.1016/j.jbankfin.2022.106706
URI
http://hdl.handle.net/10203/299189
Appears in Collection
MT-Journal Papers(저널논문)
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