Information Choice and Amplification of Financial Crises

• 成果类型: Article
• 署名作者: Ahnert, Toni; Kakhbod, Ali
• 署名单位: Bank of Canada; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw098
• 发表日期: 2017
• 页码: 2130
• 关键词: FULFILLING CURRENCY CRISES; global games; Bank runs; equilibrium selection; Deposit insurance; REGIME-CHANGE; LAST RESORT; COORDINATION; acquisition; MODEL

摘要

We propose an amplification mechanism of financial crises based on the information choices of investors. Information acquisition makes investors more likely to act against their prior. Deteriorating public news under an initially strong (weak) prior increases (reduces) the value of private information and induces more (less) information acquisition. Deteriorating public news increases the probability of a crisis, since the initially strong (weak) prior induces no attacks (attacks). This effect is amplified with endogenous information choices. To enhance financial stability, a policy maker affects information acquisition via taxes and subsidies. We derive and discuss testable implications for the magnitude of amplification.