Self-Fulfilling Risk Panics
Self-Fulfilling Risk Panics
复制标题
自我实现的风险恐慌
DOI：
10.2139/ssrn.1638932
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Eric van Wincoop
中科院分区：
文献类型：
--
作者：
P. Bacchetta;C. Tille;Eric van Wincoop
在最近的危机中，资产价格风险大幅飙升，而基本面却没有发生重大变化。我们提出了一个解释，这些风险恐慌的基础上自我实现的风险转移，使当前的资产价格和未来资产价格的风险之间的负向联系。这种联系意味着，未来资产价格的风险取决于未来风险的不确定性。这种风险自身的动态映射产生了多重均衡和风险自我实现转移的可能性。我们发现，这可能会产生风险恐慌。当从低风险均衡向高风险均衡的转变发生在基本面薄弱的环境中时，恐慌的影响会更大。风险的急剧增加导致资产价格大幅下跌，杠杆率下降，市场流动性下降。我们表明，该模型可以很好地解释在最近的金融危机的发展。
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price. This link implies that risk about tomorrow’s asset price depends on uncertainty about risk tomorrow. This dynamic mapping of risk into itself gives rise to the possibility of multiple equilibria and self-fulfilling shifts in risk. We show that this can generate risk panics. The impact of the panic is larger when the shift from a low to a high risk equilibrium takes place in an environment of weak fundamentals. The sharp increase in risk leads to a large drop in the asset price, decreased leverage and reduced market liquidity. We show that the model can account well for the developments during the recent financial crisis.