Financial Markets, the Real Economy, and Self-Fulfilling Uncertainties

• 成果类型: Article
• 署名作者: Benhabib, Jess; Liu, Xuewen; Wang, Pengfei
• 署名单位: New York University; Hong Kong University of Science & Technology; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12764
• 发表日期: 2019
• 页码: 1503-1557
• 关键词: information acquisition; EFFICIENCY; complementarities; PRODUCTIVITY; expectations; equilibrium; feedback; prices; IMPACT; RISK

摘要

We develop a model of informational interdependence between financial markets and the real economy, linking economic uncertainty to information production and aggregate economic activities in general equilibrium. The mutual learning between financial markets and the real economy creates a strategic complementarity in their information production, leading to self-fulfilling surges in economic uncertainties. In a dynamic setting, our model characterizes self-fulfilling uncertainty traps with two steady-state equilibria and a two-stage economic crisis in transitional dynamics.