Abstract

This article develops a theory of the balance sheet channel that places a central emphasis on the liquidity of secondary markets for macro-contingent claims. We show that the presence of dispersed information and imperfect competition in secondary markets, interacted with financial constraints, results in mispricing and misallocation of aggregate risk, distorts aggregate investment, and exacerbates asset price and output volatility. The magnitude of balance sheet amplification effects becomes endogenously tied to the severity of market frictions, which likely vary over time and across economies. The laissez-faire equilibrium is constrained inefficient due to a novel externality originating from rent-extracting behaviour of agents in secondary markets. Optimal corrective policy boosts secondary market liquidity through subsidies to trade in macro-contingent claims, which enhances aggregate risk-sharing and stabilizes the business cycle.

中文翻译：

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二级市场中带有信息交易摩擦的资产负债表渠道

抽象的

本文提出了资产负债表渠道的理论，该理论将重点放在宏观或有债权的二级市场的流动性上。我们发现，二级市场中存在分散的信息和不完善的竞争，与财务约束相互作用，导致总风险定价和分配错误，扭曲总投资，并加剧资产价格和产出波动。资产负债表放大效应的大小与市场摩擦的严重程度内生联系在一起，而市场摩擦的严重程度可能会随时间和经济状况而变化。自由放任的均衡由于新的外部性源于二级市场中代理人的租金抽提行为而受到约束，效率低下。