Risk-sharing and crises. Global games of regime change with endogenous wealth

• 成果类型: Article
• 署名作者: Campos, Rodolfo G.
• 署名单位: University of Navarra; IESE Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.04.007
• 发表日期: 2013
• 页码: 1624-1658
• 关键词: Global games; risk-aversion; heterogeneous agents; risk-sharing; financial crises; Strategic risk

摘要

I add heterogeneous agents and risk-sharing opportunities to a global game of regime change. The novel insight is that when there is a risk-sharing motive, fundamentals drive not only individual behavior, but also select which individuals are more relevant for the likelihood of a crisis because of endogenous shifts in wealth. If attacking is relatively safe, attack behavior in the global game and trade in state-contingent assets feed back into each other. This feedback implies that multiple equilibria may exist even if signal noise becomes arbitrarily small. In addition, heterogeneity in risk-aversion within the population amplifies the influence of the state of the economy on the probability of a crisis. (C) 2013 Elsevier Inc. All rights reserved.