| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7920 |
| DP7920 Self-Fulfilling Risk Panics | |
| Philippe Bacchetta; Eric van Wincoop; Cedric Tille | |
| 发表日期 | 2010-07-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price. This link implies that risk about tomorrow?s asset price depends on uncertainty about risk tomorrow. This dynamic mapping of risk into itself gives rise to the possibility of multiple equilibria and self-fulfilling shifts in risk. We show that this can generate risk panics. The impact of the panic is larger when the shift from a low to a high risk equilibrium takes place in an environment of weak fundamentals. The sharp increase in risk leads to a large drop in the asset price, decreased leverage and reduced market liquidity. We show that the model can account well for the developments during the recent financial crisis. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Financial panic Sunspot-like equilibria |
| URL | https://cepr.org/publications/dp7920 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536757 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop,Cedric Tille. DP7920 Self-Fulfilling Risk Panics. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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