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首页> 外文期刊>Journal of Economic Dynamics and Control >When panic makes you blind: A chaotic route to systemic risk
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When panic makes you blind: A chaotic route to systemic risk

机译：当恐慌使您失明时：通往系统性风险的混乱之路

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摘要

We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on Corsi et al. (2016), we model a set of financial institutions having Value-at-Risk capital requirements and investing in a portfolio of risky assets, whose prices evolve stochastically in time and are endogenously driven by the trading decisions of financial institutions. Assuming that they use adaptive expectations of risk, we show that the evolution of the system is described by a slow-fast random dynamical system, which can be studied analytically in some regimes. The model shows how the risk expectations play a central role in determining the systemic stability of the financial system and how wrong risk expectations may create panic induced reduction or over-optimistic expansion of balance sheets. Specifically, when investors are myopic in estimating the risk, the fixed point equilibrium of the system breaks into leverage cycles and financial variables display a bifurcation cascade eventually leading to chaos. We discuss the role of financial policy and the effects of some market frictions, as the cost of diversification and financial transaction taxes, in determining the stability of the system in the presence of adaptive expectations of risk. (C) 2019 Elsevier B.V. All rights reserved.
机译：我们提出一种分析模型来研究预期反馈和重叠投资组合对金融系统的系统稳定性的作用。建立在Corsi等人的文章上。 （2016年），我们对一组具有风险价值资本要求并投资于风险资产投资组合的金融机构进行建模，这些风险资产的价格随时间随机变化，并受金融机构的交易决策内生驱动。假设他们使用风险的自适应预期，我们表明系统的演化是由慢速随机动力学系统描述的，可以在某些情况下进行分析研究。该模型显示了风险预期如何在确定金融系统的系统稳定性方面发挥中心作用，以及错误的风险预期如何导致恐慌引起的资产负债表减少或过度乐观扩张。具体而言，当投资者对风险进行近视评估时，系统的定点均衡会进入杠杆周期，并且财务变量会显示出分叉级联，最终导致混乱。我们讨论了金融政策的作用以及一些市场摩擦的影响，如分散成本和金融交易税，在存在适应性风险预期的情况下确定系统稳定性时的作用。 （C）2019 Elsevier B.V.保留所有权利。

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