Over the last 20 years, some financial events, such as devaluations or defaults, have triggered an immediate adverse chain reaction in other countries -- which we call fast and furious contagion. Yet,

NBER2003-11-01 更新100

Stress Testing Networks: The Case of Central Counterparties

中央对手方

系统性风险

Stress tests applied to individual institutions are an important tool for evaluating financial resilience. However, financial systems are typically complex, heterogeneous and rapidly changing, raising

NBER2019-03-01 更新50

Mean Reversion and Consumption Smoothing

消费平滑理论

资产定价模型

Using a simple conventional model with additive separable utility and constant elasticity, we can explain mean reversion and consumption smoothing. The model uses the price of risk and wealth as state

NBER1989-04-01 更新110

Self-Fulfilling Risk Panics: An Expected Utility Framework

行为金融学

资产定价模型

Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. O

NBER2020-12-01 更新90