| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8453 |
| DP8453 Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System | |
| Alex Cukierman; Yehuda Izhakian | |
| 发表日期 | 2011-06-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper develops a micro-founded general equilibrium model of the financial system composed of ultimate borrowers, ultimate lenders and financial intermediaries. The model is used to investigate the impact of uncertainty about the likelihood of governmental bailouts on leverage, interest rates, the volume of defaults and the real economy. The distinction between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders' beliefs about the probability of bailout. Events like Lehman's collapse are conceived of as 'black swan' events that led lenders to put a positive mass on bailout probabilities that were previously assigned zero mass. Results of the analysis include: (i) An unanticipated increase in bailout uncertainty raises interest rates, the volume of defaults in both the real and financial sectors and may lead to a total drying up of credit markets. (ii) Lower exante bailout uncertainty is conducive to higher leverage - which raises moral hazard and makes the economy more vulnerable to expost increases in bailout uncertainty. (iii) Bailout uncertainty raises the likelihood of bubbles, the amplitude of booms and busts as well as the banking and the credit spreads. (iv) Bailout uncertainty is associated with higher returns? variability in diversified portfolios and systemic risks, (v) Expansionary monetary policy reinforces those effects by inducing higher aggregate leverage levels. |
| 主题 | Financial Economics ; International Macroeconomics ; Public Economics |
| 关键词 | ambiguity aversion Bailouts Duration mismatches Financial intermediaries Lehman's collapse Leverage Risk Uncertainty |
| URL | https://cepr.org/publications/dp8453 |
| 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/537281 |
| 推荐引用方式 GB/T 7714 | Alex Cukierman,Yehuda Izhakian. DP8453 Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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