paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk … aggregate states, but with opposite effects. -- rollover risk ; market discipline ; bank runs ; fire sales ; global games …

sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …