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The analysis of Banking Panics, Financial Crisis, and Contagion Using Risk-Sharing Externalities model

Research Project

Project/Area Number 21830098
Research Category

Grant-in-Aid for Research Activity Start-up

Allocation TypeSingle-year Grants
Research Field Public finance/Monetary economics
Research InstitutionTokyo International University

Principal Investigator

OHNO Hiroaki  Tokyo International University, 経済学部, 准教授 (20554934)

Project Period (FY) 2009 – 2010
Project Status Completed (Fiscal Year 2010)
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)
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
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.

Report

(3 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report
  • Research Products

    (10 results)

All 2011 2010 2009 Other

All Journal Article (7 results) (of which Peer Reviewed: 6 results) Remarks (3 results)

  • [Journal Article] International Risk-Sharing, Endogenous Productivity Shocks, and Economic Growth2011

    • Author(s)
      大野弘萌
    • Journal Title

      Mimeogravh

    • Related Report
      2010 Final Research Report
  • [Journal Article] 空売り規制の株価安定化機能2010

    • Author(s)
      大野弘萌
    • Journal Title

      現代ファイナンス vol.28(1)

      Pages: 3-15

    • NAID

      130007528280

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy2010

    • Author(s)
      大野弘萌
    • Journal Title

      AUCO Czech Economic Review vol.4(2)

      Pages: 168-188

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Risk-Sharing Externalities and Its Implications for Equity Premium in an Infinite-Horizon Economy2010

    • Author(s)
      Hiroaki OHNO
    • Journal Title

      AUCO Czech Economic Review

      Volume: 4 Pages: 168-188

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] 空売り規制の株価安定化機能2010

    • Author(s)
      大野弘明
    • Journal Title

      現代ファイナンス

      Volume: 28 Pages: 3-15

    • NAID

      130007528280

    • Related Report
      2010 Annual Research Report
    • Peer Reviewed
  • [Journal Article] Incomplete Market Participation, Endogenous Endowment Risks and Welfare2009

    • Author(s)
      大野弘萌
    • Journal Title

      Journal of Economics and Business vol.61(5)

      Pages: 392-403

    • Related Report
      2010 Final Research Report
    • Peer Reviewed
  • [Journal Article] Incomplete Market Participation, Endogenous Endowment Risks and Welfare2009

    • Author(s)
      Hiroaki OHNO
    • Journal Title

      Journal of Economics and Business 61(5)

      Pages: 392-403

    • Related Report
      2009 Annual Research Report
    • Peer Reviewed
  • [Remarks] ホームページ等

    • URL

      http://www.tiu.acjp/~hiohno/index.html

    • Related Report
      2010 Final Research Report
  • [Remarks]

    • URL

      http://www.tiu.ac.jp/~hiohno/index.html

    • Related Report
      2010 Annual Research Report
  • [Remarks]

    • URL

      http://www.tiu.ac.jp/~hiohno/index.html

    • Related Report
      2009 Annual Research Report

URL: 

Published: 2009-04-01   Modified: 2016-04-21  

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