Informational Channels of Financial Contagion
Informational Channels of Financial Contagion
复制标题
金融传染的信息渠道
DOI：
10.3982/ecta15604
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发表时间：
2020
期刊：
影响因子：
6.1
通讯作者：
Isabel Treviño
中科院分区：
文献类型：
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作者：
Isabel Treviño
作为金融传染的信息源，本文主要研究了两类渠道。一种是基于经济体之间实际和金融联系的基本渠道，另一种是社会学习渠道，当主体根据对国外市场上其他人行为的嘈杂观察做出决策时，就会出现这种渠道。利用全球博弈，我提出了一个两国金融传染模型，其中两个渠道都可以运作，我用实验测试了它的预测。实验结果表明，被试不能最优地提取信息，这导致了两种直接影响这些通道的系统偏差。忽略基本速率导致受试者低估其先验，从而削弱基本通道。过度反应偏差加强了社会学习渠道，因为受试者依赖于有关他人行为的信息，即使这些信息是无关的。这些结果具有显著的福利效应，其根源在于这些偏见改变行为的特定方式。
Two main classes of channels are studied as informational sources of financial contagion. One is a fundamental channel that is based on real and financial links between economies, and the second is a social learning channel that arises when agents base their decisions on noisy observations about the actions of others in foreign markets. Using global games, I present a two‐country model of financial contagion in which both channels can operate and I test its predictions experimentally. The experimental results show that subjects do not extract information optimally, which leads to two systematic biases that affect these channels directly. Base‐rate neglect leads subjects to underweight their prior, and thus weakens the fundamental channel. An overreaction bias strengthens the social learning channel, since subjects rely on information about the behavior of others, even when this information is irrelevant. These results have significant welfare effects rooted in the specific way in which these biases alter behavior.
危机：均衡转移和大冲击
影响因子：
10.7
作者：
Morris, Stephen;Yildiz, Muhamet
通讯作者：
Yildiz, Muhamet