2 edition of Financial system risk and flight to quality found in the catalog.
by Massachusetts Institute of Technology, Dept. of Economics in Cambridge, MA
Written in English
We present a model of flight to quality episodes that emphasizes financial system risk and the Knightian uncertainty surrounding these episodes. In the model, agents are uncertain about the probability distribution of shocks in markets different from theirs, treating such uncertainty as Knightian. Aversion to this uncertainty generates demand for safe financial claims. It also leads agents to require financial intermediaries to lock-up capital to cover their own markets" shocks in a manner that is robust to uncertainty over other markets. These actions are wasteful in the aggregate and can trigger a financial accelerator. A lender of last resort can unlock private capital markets to stabilize the economy during these episodes by committing to intervene should conditions worsen. Keywords: Locked collateral, flight to quality, insurance, risk premia, financial intermediaries, lender of last resort, private sector multiplier, collateral shocks, robust control. JEL Classifications: E30, E44, E5, F34, G1, G21, G22, G28.
|Statement||Ricardo J. Caballero [and] Arvind Krishnamurthy|
|Series||Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 05-31, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 05-31.|
|Contributions||Krishnamurthy, Arvind, Massachusetts Institute of Technology. Dept. of Economics|
|The Physical Object|
|Pagination||38,  p. :|
|Number of Pages||38|
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Financial System Risk and Flight to Quality Ricardo Caballero, Arvind Krishnamurthy. NBER Working Paper No. Issued in December NBER Program(s):Corporate Finance, Development of the American Economy, Economic Fluctuations and Growth, International Finance and Macroeconomics, Monetary Economics We present a model of flight to quality.
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FinancialSystemRiskandFlighttoQuality ero ArvindKrishnamurthy* Thisdraft:November21, Abstract. Financial System Risk and Flight to Quality Ricardo J.
Caballero Arvind Krishnamurthy∗ This draft: Septem Abstract We present a model of ﬂight to quality episodes that emphasizes ﬁnancial system risk and the Knigh-tian uncertainty surrounding these episodes.
In the model, agents are uncertain about the probab ilityCited by: Financial System Risk and Flight to Quality Ricardo J. Caballero Arvind Krishnamurthy∗ This draft: Octo Abstract We present a model of ﬂight to quality episodes that emphasizes ﬁnancial system risk and the Knigh-tian uncertainty surrounding these episodes.
In the model, agents are uncertain about the probab ility. A flight-to-quality, or flight-to-safety, is a financial market phenomenon occurring when investors sell what they perceive to be higher-risk investments and purchase safer investments, such as gold and other precious metals.
This is considered a sign of fear in the marketplace, as investors seek less risk in exchange for lower profits. Flight-to-quality is usually accompanied by an.
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Caballero, Arvind Krishnamurthy. NBER Working Paper No. Issued in April NBER Program(s):Corporate Finance Program, Economic Fluctuations and Growth Program, International Finance and Macroeconomics Program, Monetary Economics Program We present a model of flight to. In finance, systemic risk is the risk of collapse of an entire financial system or entire market, as opposed to risk associated with any one individual entity, group or component of a system, that can be contained therein without harming the entire system.
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