Uncertainty Aversion and Systemic Risk

• 成果类型: Article
• 署名作者: Dicks, David L.; Fulghieri, Paolo
• 署名单位: Baylor University; University of North Carolina; University of North Carolina Chapel Hill; Centre for Economic Policy Research - UK; European Corporate Governance Institute
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/701356
• 发表日期: 2019
• 页码: 1118-1155
• 关键词: Ambiguity aversion; Robust Estimation; Bank runs; INFORMATION; contagion; leverage; QUALITY; panics; MODEL

摘要

We propose a new theory of systemic risk based on Knightian uncertainty (ambiguity). Because of uncertainty aversion, bad news on one asset class worsens investors' expectations on other asset classes, so that idiosyncratic risk creates contagion, snowballing into systemic risk. In a Diamond and Dybvig setting, uncertainty-averse investors are less prone to run individual banks, but runs can be systemic and are associated with stock market crashes and flight to quality. Finally, increasing uncertainty makes the financial system more fragile and more prone to crises. Implications for the current public policy debate on management of financial crisis are derived.