| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16809 |
| DP16809 A Wake-Up Call Theory of Contagion | |
| Toni Ahnert | |
| 发表日期 | 2021-12-13 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We offer a theory of financial contagion based on the information choice of investors after observing a financial crisis elsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to investors in region 2. It induces them to reassess the regional fundamental and acquire information about the macro shock. Contagion can occur even after investors learn that region 2 has no ex-post exposure to region 1. We explore normative and testable implications of the model. In particular, our results rationalize evidence about contagious currency crises and bank runs after wake-up calls and provide some guidance for future empirical work. |
| 主题 | Financial Economics |
| 关键词 | Wake-up call Information choice Financial crises Contagion Bank run Global games Fundamental re-assessment |
| URL | https://cepr.org/publications/dp16809 |
| 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/545739 |
| 推荐引用方式 GB/T 7714 | Toni Ahnert. DP16809 A Wake-Up Call Theory of Contagion. 2021. |
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