Collective risk management in a flight to quality episode
Collective risk management in a flight to quality episode
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DOI：
10.1111/j.1540-6261.2008.01394.x
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发表时间：
2008-10-01
影响因子：
8
通讯作者：
Krishnamurthy, Arvind
中科院分区：
文献类型：
--
作者：
Caballero, Ricardo J.;Krishnamurthy, Arvind
对高质量事件的严重逃离涉及到环境的不确定性，而不仅仅是资产回报的风险。这种不确定性是由不寻常的事件和未经考验的金融创新引发的，这些事件和创新导致代理人质疑他们的世界观。我们提出了一个包含奈特不确定性的危机和央行政策模型。该模型解释了市场范围内的资本不流动、代理人脱离风险以及流动性囤积等危机规律。我们确定了这些行为的社会成本，以及最后贷款人安排的好处。收益尤其高，因为在不确定性驱动的危机中，公共和私人保险是相辅相成的。
Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs. The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. We present a model of crises and central bank policy that incorporates Knightian uncertainty. The model explains crisis regularities such as market-wide capital immobility, agents' disengagement from risk, and liquidity hoarding. We identify a social cost of these behaviors, and a benefit of a lender of last resort facility. The benefit is particularly high because public and private insurance are complements during uncertainty-driven crises.