An expectations-driven interpretation of the Great Recession
成果类型：
Article
署名作者：
Gunn, Christopher M.; Johri, Alok
署名单位：
Carleton University; McMaster University
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2013.04.003
发表日期：
2013
页码：
391-407
关键词：
摘要：
The boom-years preceding the great recession were a time of rapid innovation in the financial industry. We explore the idea that both the boom and eventual bust emerged from overoptimistic expectations of efficiency-gains in the financial sector. We treat the bankruptcy costs facing intermediaries in a costly state verification problem as a stochastic process, and model the boom-bust in terms of an unfulfilled news-shock where the expected fall in costs are eventually not realized. In response to a change in expectations only, the model generates a boom-bust cycle in aggregate activity, asset prices and leverage, and a countercyclical credit spread. (C) 2013 Elsevier B.V. All rights reserved.
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