@techreport{NBERw17115, title = "A Model of Shadow Banking",
author = "Nicola Gennaioli and Andrei Shleifer and Robert W.
Vishny", institution = "National Bureau of Economic Research",
type = "Working Paper", series = "Working Paper Series", number
= "17115", year = "2011", month = "June", doi =
{10.3386/w17115}, URL = "http://www.nber.org/papers/w17115",
abstract = {We present a model of shadow banking in which
financial intermediaries originate and trade loans, assemble
these loans into diversified portfolios, and then finance these
portfolios externally with riskless debt. In this model: i)
outside investor wealth drives the demand for riskless debt and
indirectly for securitization, ii) intermediary assets and
leverage move together as in Adrian and Shin (2010), and iii)
intermediaries increase their exposure to systematic risk as
they reduce their idiosyncratic risk through diversification, as
in Acharya, Schnabl, and Suarez (2010). Under rational
expectations, the shadow banking system is stable and imp