کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099233 1376994 2012 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Relative risk aversion and the transmission of financial crises
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Relative risk aversion and the transmission of financial crises
چکیده انگلیسی
We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which allows for contagion through changes in fundamentals. Investor behavior can be a transmission channel of financial crises, as changes in risk premia increase the coverage ratio and makes the defense of a peg less attractive for the policy maker. The feedback effect of the risk premia on the probability of devaluation also makes multiple equilibria more likely. The possible stabilization effects of capital controls and a Tobin tax on the international transmission of financial crises are also studied.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 1, January 2012, Pages 85-99
نویسندگان
, ,