Can Miracles Lead to Crises? The Role of Optimism in Emerging Markets Crises
构建了一个包含信息摩擦的均衡资产定价模型，论证了危机前投资者的乐观情绪本身是危机的原因：一系列正面信号后，一个微小的负面噪声冲击就能引发信念、资产价格和消费的大幅向下调整，且调整幅度随此前乐观程度增加而增大。
Emerging market financial crises are abrupt and dramatic usually occurring after a precrisis bonanza. This paper develops an equilibrium asset pricing model with informational frictions in which crisis itself is a consequence of the investor optimism in the period preceding the crisis. If preceded by a sequence of positive signals, a small, negative noise shock can trigger a downward adjustment in investors' beliefs, asset prices, and consumption. The magnitude of this downward adjustment increases with the level of optimism attained prior to the negative signal. Moreover, with informational frictions, asset prices display persistent effects in response to transitory shocks.