| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP7967
|
| DP7967 Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis |
| Enrique Mendoza; Emine Boz
|
| 发表日期 | 2010-08-08
|
| 出版年 | 2010
|
| 语种 | 英语
|
| 摘要 | Uncertainty about the riskiness of a new financial environment was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by observation" the true riskiness of the new environment. Early realizations of states with high ability to leverage assets into debt turn agents overly optimistic about the probability of persistence of a high-leverage regime. Conversely, the first realization of the low-leverage state turns agents unduly pessimistic about future credit prospects. These effects interact with the Fisherian deflation mechanism, resulting in changes in debt, leverage, and asset prices larger than predicted under either rational expectations without learning or with learning but without Fisherian de°ation. The model can account for 69 percent of the rise in net household debt and 53 percent of the rise in residential land prices between 1997 and 2006, and it predicts a sharp collapse in 2007. |
| 主题 | Financial Economics
|
| 关键词 | Credit crisis
Financial innovation
Imperfect information
Learning
Asset prices
Fisherian deflation
|
| URL | https://cepr.org/publications/dp7967
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536804
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推荐引用方式
GB/T 7714 |
Enrique Mendoza,Emine Boz. DP7967 Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis. 2010.
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