INFORMATIONAL CHANNELS OF FINANCIAL CONTAGION

• 成果类型: Article
• 署名作者: Trevino, Isabel
• 署名单位: University of California System; University of California San Diego
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA15604
• 发表日期: 2020
• 页码: 297-335
• 关键词: Global games; crises; COORDINATION; MODEL; equilibrium; multiplicity; cascades; sunspots; RISK

摘要

Two main classes of channels are studied as informational sources of financial contagion. One is a fundamental channel that is based on real and financial links between economies, and the second is a social learning channel that arises when agents base their decisions on noisy observations about the actions of others in foreign markets. Using global games, I present a two-country model of financial contagion in which both channels can operate and I test its predictions experimentally. The experimental results show that subjects do not extract information optimally, which leads to two systematic biases that affect these channels directly. Base-rate neglect leads subjects to underweight their prior, and thus weakens the fundamental channel. An overreaction bias strengthens the social learning channel, since subjects rely on information about the behavior of others, even when this information is irrelevant. These results have significant welfare effects rooted in the specific way in which these biases alter behavior.