| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25747 |
| 来源ID | Working Paper 25747 |
| Reflexivity in Credit Markets | |
| Robin Greenwood; Samuel G. Hanson; Lawrence J. Jin | |
| 发表日期 | 2019-04-15 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Reflexivity is the idea that investors' biased beliefs affect market outcomes, and that market outcomes in turn affect investors' beliefs. We develop a behavioral model of the credit cycle featuring such a two-way feedback loop. In our model, investors form beliefs about firms' creditworthiness, in part, by extrapolating past default rates. Investor beliefs influence firms' actual creditworthiness because firms that can refinance maturing debt on favorable terms are less likely to default in the short-run—even if fundamentals do not justify investors' generosity. Our model is able to match many features of credit booms and busts, including the imperfect synchronization of credit cycles with the real economy, the negative relationship between past credit growth and the future return on risky bonds, and "calm before the storm" periods in which firm fundamentals have deteriorated but the credit market has not yet turned. |
| 主题 | Financial Economics ; Behavioral Finance |
| URL | https://www.nber.org/papers/w25747 |
| 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/583421 |
| 推荐引用方式 GB/T 7714 | Robin Greenwood,Samuel G. Hanson,Lawrence J. Jin. Reflexivity in Credit Markets. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25747.pdf（1282KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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