Dissecting Mechanisms of Financial Crises: Intermediation and Sentiment

• 成果类型: Article
• 署名作者: Krishnamurthy, Arvind; Li, Wenhao
• 署名单位: Stanford University; National Bureau of Economic Research; University of Southern California
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/733423
• 发表日期: 2025
• 页码: 935-985
• 关键词: macroeconomic model; credit booms; Bank runs; cycles

摘要

We develop a model of financial crises with both a financial amplification mechanism, via frictional intermediation, and a role for sentiment, via time-varying beliefs about an illiquidity state. The model accounts for the entire crisis cycle, matching data on the frothy precrisis behavior of asset markets and credit; the sharp transition to a crisis where asset values fall, disintermediation occurs, and output falls; and the slow postcrisis recovery in output. Both the intermediation and the belief mechanism are essential to match the crisis cycle. However, modeling the belief variation via either a Bayesian or a diagnostic model can match the broad patterns.