Войти

Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis (Boz E., Mendoza E. G.)

Financial Crises Household Strategies

Abstract Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by observation" the true riskiness of a new financial environment. Early realizations of states with high ability to leverage assets into debt turn agents optimistic about the persistence of a high-leverage regime. The model accounts for 69 percent of the household debt buildup and 53 percent of the rise in housing prices during 1997-2006, predicting a collapse in 2007.
External link Download
Libref/ Boz E., Mendoza E. G. (2010) "Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis", IMF Working Paper No. 10/164, pp. 1 - 63
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.