Financial innovation, the discovery of risk, and the U.S. credit crisis

• 成果类型: Article
• 署名作者: Boz, Emine; Mendoza, Enrique G.
• 署名单位: International Monetary Fund; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.07.001
• 发表日期: 2014
• 页码: 1-22
• 关键词: Credit crisis; financial innovation; imperfect information; learning; asset prices; Fisherian amplification; Anticipated utility

摘要

Financial innovation and overconfidence about the risk of new financial products were key factors behind the 2008 U.S. credit crisis. We show that a model with a collateral constraint in which learning about the risk of a new financial environment interacts with Fisherian amplification produces a boom-bust cycle in debt, asset prices and consumption. Early realizations of a high-borrowing-ability regime turn agents optimistic about the persistence probability of this regime. Conversely, the first realization of a low-borrowing-ability regime turns agents unduly pessimistic. The model predicts large increases in household debt, land prices and excess returns during 1998-2006 followed by a collapse. (C) 2013 International Monetary Fund. Published by Elsevier B.V. All rights reserved.