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首页> 外文期刊>Journal of Economic Dynamics and Control >Relative risk aversion and the transmission of financial crises
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Relative risk aversion and the transmission of financial crises

机译：相对风险规避和金融危机的传播

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摘要

We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which allows for contagion through changes in fundamentals. Investor behavior can be a transmission channel of financial crises, as changes in risk premia increase the coverage ratio and makes the defense of a peg less attractive for the policy maker. The feedback effect of the risk premia on the probability of devaluation also makes multiple equilibria more likely. The possible stabilization effects of capital controls and a Tobin tax on the international transmission of financial crises are also studied.
机译：我们研究了投资者的行为如何影响金融危机的传播。如果投资者表现出相对风险规避减少，那么负面的财富冲击会增加持有风险资产所需的风险溢价。我们将其整合到第二代货币危机模型中，该模型可以通过基本面的变化来传染。投资者行为可能是金融危机的传播渠道，因为风险溢价的变化会提高覆盖率，并使盯住美元的汇率对决策者的吸引力降低。风险溢价对贬值概率的反馈效应也使多重均衡的可能性更大。还研究了资本管制和托宾税对金融危机的国际传播可能产生的稳定作用。

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