2010 Fiscal Year Final Research Report

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 Type	Single-year Grants
Research Field	Public finance/Monetary economics
Research Institution	Tokyo International University
Principal Investigator	OHNO Hiroaki Tokyo International University, 経済学部, 准教授 (20554934)
Project Period (FY)	2009 – 2010
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
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.