A wake-up call theory of contagion

Arbeitspapier

We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to investors in region 2. It induces them to reassess the regional fundamental and acquire information about the macro shock. Contagion can occur even after investors learn that region 2 has no ex-post exposure to region 1. We explore normative and testable implications of the model. In particular, our results rationalize evidence about contagious currency crises and bank runs after wake-up calls and provide some guidance for future empirical work.

Angaben zum Objekt

• ISBN: 978-92-899-5107-4
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2658

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Search; Learning; Information and Knowledge; Communication; Belief; Unawareness ; Financial Crises ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: wake-up call ; information choice ; financial crises ; contagion ; bankrun ; global games ; fundamental re-assessment

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ahnert, Toni ; Bertsch, Christoph
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• DOI: doi:10.2866/171173
• Handle: http://hdl.handle.net/10419/264483
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ