| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10510
|
| DP10510 Uncertainty Aversion and Systemic Risk |
| Paolo Fulghieri; David Dicks
|
| 发表日期 | 2015-03-29
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | We propose a new theory of systemic risk based on Knightian uncertainty (or "ambiguity"). We show that, due to uncertainty aversion, beliefs on future asset returns are endogenous, and bad news on one asset class induces investors to be more pessimistic about other asset classes as well. This means that idiosyncratic risk can create contagion and snowball into systemic risk. Furthermore, in a Diamond and Dybvig (1983) setting, we show that, surprisingly, uncertainty aversion causes investors to be less prone to run individual banks, but runs will be systemic. In addition, we show that bank runs are associated with stock market crashes and flight to quality. Finally, we argue that increasing uncertainty makes the financial system more fragile and more prone to crises. We conclude with implications for the current public policy debate on the management of financial crisis |
| 主题 | Financial Economics
|
| 关键词 | ambiguity aversion
Bank runs
Financial crises
Systemic risk
|
| URL | https://cepr.org/publications/dp10510
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 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/539342
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推荐引用方式
GB/T 7714 |
Paolo Fulghieri,David Dicks. DP10510 Uncertainty Aversion and Systemic Risk. 2015.
|
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