| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27088 |
| 来源ID | Working Paper 27088 |
| Dissecting Mechanisms of Financial Crises: Intermediation and Sentiment | |
| Arvind Krishnamurthy; Wenhao Li | |
| 发表日期 | 2020-05-04 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a model of financial crises with both a financial amplification mechanism, via frictional intermediation, and a role for sentiment, via time-varying beliefs about an illiquidity state. We confront the model with data on credit spreads, equity prices, credit, and output across the financial crisis cycle. In particular, we ask the model to match data on the frothy pre-crisis behavior of asset markets and credit, the sharp transition to a crisis where asset values fall, disintermediation occurs and output falls, and the post-crisis period characterized by a slow recovery in output. Our model with the frictional intermediation mechanism and fluctuations in beliefs provides a parsimonious account of the entire crisis cycle. The model with only the frictional intermediation mechanism misses the frothy pre-crisis behavior; fluctuations in beliefs resolve this problem. On the other hand, modeling the belief variation via either a Bayesian or diagnostic model match the broad patterns, with each missing some targets to different extents. We also show that a lean-against-the-wind policy has a quantitatively similar impact in both versions of the belief model, indicating that policy need not “get into the minds” of investors and condition on the true belief process. |
| 主题 | Macroeconomics ; Financial Economics |
| URL | https://www.nber.org/papers/w27088 |
| 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/584761 |
| 推荐引用方式 GB/T 7714 | Arvind Krishnamurthy,Wenhao Li. Dissecting Mechanisms of Financial Crises: Intermediation and Sentiment. 2020. |
| 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 | ||
| w27088.pdf（553KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
