Self-Fulfilling Risk Panics

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ID Serval
serval:BIB_4CD8AFA4AF92
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Self-Fulfilling Risk Panics
Périodique
American Economic Review
Auteur(s)
Bacchetta P., Tille C., van Wincoop E.
ISSN
0002-8282
Statut éditorial
Publié
Date de publication
12/2012
Peer-reviewed
Oui
Volume
102
Numéro
7
Pages
3674-3700
Langue
anglais
Résumé
Recent crises have seen large spikes in asset price risk. We propose an explanation for such panics based on self-fulfilling shifts in beliefs about risk. A negative link between the current level and the future risk of an asset price leads to a circular relationship between the stochastic process of asset price risk and the price itself. Self-fulfilling shifts in perceived risk can be coordinated around a pure sunspot or around a macro fundamental. In a risk panic, a macro fundamental can be a focal point that affects both the magnitude of the panic and subsequent shifts in perceived risk.
Mots-clé
Sunsports matter, Asset, Equilibrium, Volatility, Crises
Web of science
Création de la notice
18/02/2011 12:57
Dernière modification de la notice
20/08/2019 14:01
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