Information-based contagion and the implications for financial fragility
Information-based contagion and the implications for financial fragility
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DOI：
10.1016/j.euroecorev.2010.02.001
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发表时间：
2010-10
影响因子：
2.8
通讯作者：
Michael Manz
中科院分区：
文献类型：
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作者：
Michael Manz
本文探讨了一个基于信息的金融传染的全球博弈模型。通过披露关于共同基本因素的信息，从而影响债权人的行为，一家公司的倒闭可能引发另一家公司的倒闭。该模型提供了一个独特的均衡框架来评估传染的后果，并产生了一些迄今未被注意的见解。虽然传染增加了不同企业的财务失败之间的相关性，但其对失败发生率的影响是模糊的。我认为一个易于分析的版本的模型中，对事前故障概率的影响正好是零。此外，传染的影响随着共同的基本面的相关性而增加，但仅限于接近成功或失败边缘的公司。
This paper explores a global game model of information-based financial contagion. By revealing information on a common fundamental factor and thereby affecting the behavior of creditors, the failure of a single firm can trigger the failure of another firm. The model provides a unique equilibrium framework to assess the consequences of contagion and yields some hitherto unnoticed insights. While contagion increases the correlation among the financial failures of different firms, its impact on the incidence of failure is ambiguous. I consider an analytically tractable version of the model in which the effect on the ex ante failure probabilities is exactly zero. Moreover, the impact of contagion increases with the relevance of a common underlying fundamental, but is limited to firms near the brink of success or failure.