Ambiguity, information processing, and financial intermediation

• 成果类型: Article
• 署名作者: Han, Leyla Jianyu; Kasa, Kenneth; Luo, Yulei
• 署名单位: Boston University; Simon Fraser University; University of Hong Kong
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2024.105922
• 发表日期: 2024
• 关键词: Ambiguity; rational inattention; Portfolio delegation; Intermediary asset pricing; Financial crisis

摘要

This paper incorporates ambiguity and information processing constraints into the He and Krishnamurthy (2012) model of intermediary asset pricing. Financial intermediaries possess greater information processing capacity than households. In response, households optimally choose to delegate their investment decisions. The contractual relationship between households and intermediaries is subject to a moral hazard friction, which results in a financial constraint. We show that ambiguity aversion not only amplifies households' incentives to delegate but also tightens the financial constraint. The calibrated model can quantitatively explain both the unconditional and time-varying moments of observed asset prices while endogenously generating an empirically consistent crisis frequency.