Confidence spillovers, financial contagion, and stagnation

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS ACS Applied Bio Materials Pub Date : 2024-08-13 DOI:10.1016/j.jimonfin.2024.103163
Konstantin Platonov
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引用次数: 0

Abstract

Financial crises tend to spread across countries, causing equity price crashes that cannot be fully explained by fundamentals. This paper introduces a two-country dynamic general equilibrium model of global financial crises that distinguishes between interdependence and financial contagion. Interdependence arises through trade and capital flows, while contagion occurs through a new channel: confidence spillovers. In the model, contagion is possible due to multiple dynamic and steady-state equilibria, even with fully rational consumers. Self-fulfilling beliefs about equity prices can shift the economy between equilibria, amplifying negative effects and causing contagion. The model has three policy implications. Firstly, monetary policy can offset recessions without causing inflation. Coordinated international policy can potentially improve welfare further. Secondly, capital controls can prevent contagion. Lastly, increased trust in government can mitigate negative confidence shocks. These recommendations emphasize the role of beliefs, where pessimism can spread internationally via the confidence channel, leading to contagion.

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信心溢出效应、金融传染和停滞
金融危机往往会在各国之间蔓延,导致无法完全用基本面解释的股票价格暴跌。本文引入了全球金融危机的两国动态一般均衡模型,对相互依存和金融传染进行了区分。相互依存是通过贸易和资本流动产生的,而传染则是通过一个新渠道:信心溢出效应产生的。在该模型中,由于存在多个动态和稳态均衡,即使是完全理性的消费者,也有可能发生传染。对股票价格的自我实现信念会使经济在均衡状态之间发生转变,从而放大负面影响并导致传染。该模型有三个政策含义。首先,货币政策可以在不引起通货膨胀的情况下抵消经济衰退。协调的国际政策有可能进一步改善福利。其次,资本管制可以防止危机蔓延。最后,增加对政府的信任可以减轻负面的信心冲击。这些建议强调了信念的作用,即悲观情绪可通过信心渠道在国际上蔓延,从而导致传染。
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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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