Self-fulfilling risk panics

American Economic Review

Volumn 102, Issue 7, 2012, Pages 3674-3700

  Bacchetta, Philippe ^a,b   Tille, CÉdric ^b,c   Van Wincoop, Eric ^d,e  

^a UNIVERSITY OF LAUSANNE   (Switzerland)

^b CEPR ^*  (United States)

^c GRADUATE INSTITUTE OF INTERNATIONAL AND DEVELOPMENT STUDIES   (Switzerland)

^d UNIVERSITY OF VIRGINIA   (United States)

^e NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84873288735     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.102.7.3674     Document Type: Article

References (23)

1. Aghion, Philippe, Philippe Bacchetta, and Abhijit Banerjee. 2004. "A Corporate Balance-Sheet Approach to Currency Crises." Journal of Economic Theory 119 (1): 6-30.
2. Allen, Franklin, and Douglas Gale. 1994. "Limited Market Participation and Volatility of Asset Prices." American Economic Review 84 (4): 933-55.
3. Bacchetta, Philippe, and Eric van Wincoop. 2012. "Sudden Spikes in Global Risk." Unpublished.
4. Bacchetta, Philippe, and Eric van Wincoop. 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?" American Economic Review 96 (3): 552-76.
5. Bacchetta, Philippe, Cédric Tille, and Eric van Wincoop. 2010. "Self-Fulfilling Risk Panics." National Bureau of Economic Research Working Paper 16159.
6. Bacchetta, Philippe, Cédric Tille, and Eric van Wincoop. 2011. "Regulating Asset Price Risk." American Economic Review 101 (3): 410-12.
7. Bansal, Ravi, and Amir Yaron. 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles." Journal of Finance 59 (4): 1481-509.
8. Basak, Suleyman, and Georgy Chabakauri. 2010. "Dynamic Mean-Variance Asset Allocation." Review of Financial Studies 23 (8): 2970-3016.
9. Benhabib, Jess, and Roger E. A. Farmer. 1999. "Indeterminacy and Sunspots in Macroeconomics." In Handbook of Macroeconomics Volume 1A, edited by John B. Taylor and Michael Woodford, 387-448. Amsterdam: Elsevier Science, North-Holland.
10. Bloom, Nicholas. 2009. "The Impact of Uncertainty Shocks." Econometrica 77 (3): 623-85.
11. Brunnermeier, Markus K., and Lasse Heje Pedersen. 2009. "Market Liquidity and Funding Liquidity." Review of Financial Studies 22 (6): 2201-38.
12. Burnside, Craig, Martin Eichenbaum, and Sergio Rebelo. 2004. "Government Guarantees and Self-Fulfilling Speculative Attacks." Journal of Economic Theory 119 (1): 31-63.
13. Cass, David, and Karl Shell. 1983. "Do Sunspots Matter?" Journal of Political Economy 91 (2): 193-227.
14. Gromb, Denis, and Dimitri Vayanos. 2002. "Equilibrium and Welfare in Markets with Financially Constrained Arbitrageurs." Journal of Financial Economics 66 (2-3): 361-407.
15. Hens, Thorsten. 2000. "Do Sunspots Matter When Spot Market Equilibria Are Unique?" Econometrica 68 (2): 435-41.
16. Jeanne, Olivier, and Andrew K. Rose. 2002. "Noise Trading and Exchange Rate Regimes." Quarterly Journal of Economics 117 (2): 537-69.
17. Manuelli, Rodolfo, and James Peck. 1992. "Sunspot-Like Effects of Random Endowments." Journal of Economic Dynamics and Control 16 (2): 193-206.
18. Obstfeld, Maurice. 1986. "Rational and Self-fulfilling Balance-of-Payments Crises." American Economic Review 76 (1): 72-81.
19. Pagano, Marco. 1989. "Endogenous Market Thinness and Stock Price Volatility." Review of Economic Studies 56 (2): 269-87.
20. Shell, Karl. 2008. "Sunspot Equilibrium." In The New Palgrave: A Dictionary of Economics, Vol. 8., 2nd ed., edited by Lawrence Blume and Steven Durlauf, 83-91. New York: Palgrave Macmillan.
21. Spear, Stephen E., Sanjay Srivastava, and Michael Woodford. 1990. "Indeterminacy of Stationary Equilibrium in Stochastic Overlapping Generations Models." Journal of Economic Theory 50 (2): 265-84.
22. Walker, Todd B., and Charles H. Whiteman. 2007. "Multiple Equilibria in a Simple Asset Pricing Model." Economics Letters 97 (3): 191-96.
23. Zigrand, Jean-Pierre, Hyun Song Shin, and Jon Danielsson. 2010. "Risk Appetite and Endogenous Risk." Financial Markets Group, Discussion Paper dp647.