The analysis of Banking Panics, Financial Crisis, and Contagion Using Risk-Sharing Externalities model
| Project/Area Number |
21830098
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| Research Category |
Grant-in-Aid for Research Activity Start-up
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| Allocation Type | Single-year Grants |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | Tokyo International University |
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Principal Investigator |
OHNO Hiroaki Tokyo International University, 経済学部, 准教授 (20554934)
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| Project Period (FY) |
2009 – 2010
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| Project Status |
Completed (Fiscal Year 2010)
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| Budget Amount *help |
¥1,287,000 (Direct Cost: ¥990,000、Indirect Cost: ¥297,000)
Fiscal Year 2010: ¥546,000 (Direct Cost: ¥420,000、Indirect Cost: ¥126,000)
Fiscal Year 2009: ¥741,000 (Direct Cost: ¥570,000、Indirect Cost: ¥171,000)
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| Keywords | リスクシェアリング / 内生成長論 / 動学一般均衡 / 空売り規制 / マーケットマイクロストラクチュア / リスクシェアリング外部性 / 銀行恐慌 / 金融危機 / ポジティブフィードバック投資 / 経済成長 / 社会厚生 / 消費リスク / 金融危機の伝播 / 資産価格の形成 |
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| Research Abstract |
To explain the factors which have been actualized in historical banking panics and financial crisis, I construct the risk-sharing externality model and investigate its effect on standard economic models. The main findings are as follows : First, the risk-sharing externality explains the high covariance among countries which participate in theidentical segmented‐market and may disturb the international risk-sharing opportunities. Second, however, it does not mean that social welfare is worse than full market integration because the precautional motives for endogenous risks strength capital stocks while the production spill-over induces the under-accumulation of capital stocks. Also, to clarify the effect of short-sale constraint, I consider the Delong et al (1990) model where positive feedback investors disturb asset prices. Our conclusion suggests that short-sale constraints stabilize the equity prices while deteriorate the information efficiency.
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Report
(3 results)
Research Products
(10 results)
