| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8853 |
| DP8853 Sudden Spikes in Global Risk | |
| Philippe Bacchetta; Eric van Wincoop | |
| 发表日期 | 2012-02-23 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared among a broad set of countries. There is substantial variation though in the extent to which individual countries are impacted, while the impact bears little relation to financial linkages with the epicenter of the crisis. In addition there is usually not a large shock to fundamentals that sets off these panics. We provide an explanation for these risk panic features in the context of a two-country model that allows for self-fulfilling shifts in risk. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Contagion International finance |
| URL | https://cepr.org/publications/dp8853 |
| 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/537698 |
| 推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP8853 Sudden Spikes in Global Risk. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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