Credit Crunches, Information Failures, and the Persistence of Pessimism∗
Credit Crunches, Information Failures, and the Persistence of Pessimism∗
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信贷紧缩、信息失败和悲观主义持续存在*
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
O. Blanchard
中科院分区：
文献类型：
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作者：
Ludwig Straub;R. Ulbricht;M. Bassetto;Markus K. Brunnermeier;Lawrence J. Christiano;M. Eichenbaum;C. Hellwig;G. Lorenzoni;O. Blanchard
本文研究了金融危机如何影响经济主体了解经济基本面的能力，以及这反过来又如何影响金融冲击在经济中的传递。为此，我们引入了一个模型，在金融市场的噪音驱动的商业周期。代理人从市场价格中内生地了解基本面，但金融约束系统地破坏了金融危机中价格的信息能力。这是因为经济上受到限制的代理人停止对可用信息做出反应，降低了价格在汇总分散在整个经济中的信息方面的效率。因此，金融危机时期的特点是内生性增加的不确定性和日益持久的悲观情绪，为金融冲击提供了强大的放大机制。重要的是，这种机制本质上是非线性的。虽然小的或积极的金融冲击对经济只有很小的影响，但异常不利的冲击实际上会关闭市场学习，并导致不相称的严重和持续的崩溃，其特征是就业，产出和资产价格的重大损失;以及高水平的不确定性，波动性和风险溢价。
This paper examines how financial crises affect the ability of agents to learn about economic fundamentals, and how this in turn affects the transmission of financial shocks through the economy. To this end, we introduce a model where noise in the financial market drives business cycles. Agents endogenously learn about fundamentals from market prices, but financial constraints systematically destroy the informational capacity of prices in financial crises. This is because financially constrained agents stop responding to available information, reducing the efficiency of prices in aggregating information that is dispersed across the economy. As a result, times of financial crisis are marked by both endogenously increasing uncertainty and increasingly persistent pessimism, providing a powerful amplification mechanism for financial shocks. Importantly, this mechanism is inherently nonlinear. Whereas small or positive financial shocks have only a little influence on the economy, unusually adverse shocks virtually shut down market learning and result in dis-proportionately severe and persistent crashes—characterized by substantial losses in employment, output, and asset prices; and high levels of uncertainty, volatility, and risk premia.