Title of article :
Ambiguityshiftsandthe2007–2008financialcrisis
Author/Authors :
Nina Boyarchenko، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2012
Abstract :
Faced withdoubtsaboutthequalityofinformationandthequalityofmodeling
techniques,ambiguity-averseagentsassignhigherprobabilitiestolowerutilitystates,
leadingtohigherCDSpremiaandlowerequityprices.Usingdataonfinancial
institutions,Ifindthatthesuddenincreasesincreditspreadsduringtherecentcrisis
can beexplainedbychangesintheamountofambiguityfacedbymarketparticipants
and changesinhowthetotalamountofambiguitywasdistributedbetweenambiguity
aboutinformationqualityandambiguityaboutmodelquality
Journal title :
Journal of Monetary Economics
Journal title :
Journal of Monetary Economics
