| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19381 |
| 来源ID | Working Paper 19381 |
| Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion | |
| Nicolae Gârleanu; Stavros Panageas; Jianfeng Yu | |
| 发表日期 | 2013-08-29 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Despite the ex-ante symmetry of investors, their strategies may (endogenously) exhibit diversity, with some investors in each location following high-leverage, high-participation, and high-cost strategies and some unleveraged, low-participation, and low-cost strategies. The capital allocated to high-leverage strategies may be vulnerable even to small changes in market-access costs, which can lead to discontinuous price drops, de-leveraging, and portfolio-flow reversals. Moreover, the market is subject to contagion, in that an adverse shock to investors at a subset of locations affects prices everywhere. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w19381 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577056 |
| 推荐引用方式 GB/T 7714 | Nicolae Gârleanu,Stavros Panageas,Jianfeng Yu. Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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