Leverage Cycles and the Anxious Economy

• 成果类型: Article
• 署名作者: Fostel, Ana; Geanakoplos, John
• 署名单位: George Washington University; Yale University; The Santa Fe Institute
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.98.4.1211
• 发表日期: 2008
• 页码: 1211-1244
• 关键词: model; constraints; volatility; contagion; MARKETS; crises

摘要

We provide a pricing theory for emerging asset classes, like emerging markets, that are not yet mature enough to be attractive to the general public. We show how leverage cycles can cause contagion, flight to collateral, and issuance rationing in a frequently recurring phase we call the anxious economy. Our model provides an explanation for the volatile access of emerging economies to international financial markets, and,for three stylized facts we identify in emerging markets and high yield data since the late 1990s. Our analytical framework is a general equilibrium model with heterogeneous agents, incomplete markets, and endogenous collateral, plus an extension encompassing adverse selection.