Sudden spikes in global risk

• 成果类型: Article; Proceedings Paper
• 署名作者: Bacchetta, Philippe; van Wincoop, Eric
• 署名单位: University of Lausanne; Centre for Economic Policy Research - UK; University of Virginia; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.07.006
• 发表日期: 2013
• 页码: 511-521
• 关键词: Equity price risk; VIX; Self-fulfilling; Financial panic; contagion

摘要

Recent episodes (October 2008, May 2010, August 2011) have witnessed huge spikes in equity price risk (implied volatility). Apart from their large size, several features characterize these risk panics. They are global phenomena, shared among a broad set of countries. There is substantial variation though in the extent to which individual countries are impacted, while the impact bears little relation to financial linkages with the epicenter of the crisis. In addition there is usually not a large shock to fundamentals that sets off these panics. We provide an explanation for these risk panic features in the context of a two-country model that allows for self-fulfilling shifts in risk. (C) 2012 Elsevier B.V. All rights reserved.