| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13875 |
| DP13875 Ambiguity Attitudes, Leverage Cycle and Asset Prices | |
| Marzio Bassanin; Ester Faia; Valeria Patella | |
| 发表日期 | 2019-07-19 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Financial crises often originate in debt markets, where collateral constraints and opacity of asset values generate intrinsic instability. In such ambiguous contexts endogenous beliefs formation plays a crucial role in explaining asset price and leverage cycles. We introduce state-contingent ambiguity attitudes embedding ambiguity aversion and seeking, which endogenously induces pessimism (left-skewed beliefs) in recessions and optimism (rightskewed beliefs) in booms, in a model where borrowers face occasionally binding collateral constraints. We use GMM estimation with latent value functions to estimate the ambiguity attitudes process. By simulating a crisis scenario in our model we show that optimism in booms is responsible for higher asset price and leverage growth and pessimism in recessions is responsible for sharper de-leveraging and asset price bursts. Analytically and numerically (using global methods) we show that our state-contingent ambiguity attitudes coupled with the collateral constraints can explain relevant asset price and debt cycle facts around the unfolding of a financial crisis. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Ambiguity attitudes Occasionally binding constraints Kinked multiplier preferences Leverage cycle Asset price cycle |
| URL | https://cepr.org/publications/dp13875-0 |
| 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/542751 |
| 推荐引用方式 GB/T 7714 | Marzio Bassanin,Ester Faia,Valeria Patella. DP13875 Ambiguity Attitudes, Leverage Cycle and Asset Prices. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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