Leverage Cycles and the Anxious Economy
为新兴资产类别提供定价理论，解释杠杆周期如何导致传染、抵押品逃逸和发行配给，并识别了1990年代末以来新兴市场和高收益数据的三个典型事实。
We provide a pricing theory for emerging asset classes, like emerging markets, that are not yet mature enough to be attractive to the general public. We show how leverage cycles can cause contagion, flight to collateral, and issuance rationing in a frequently recurring phase we call the anxious economy. Our model provides an explanation for the volatile access of emerging economies to international financial markets, and for three stylized facts we identify in emerging markets and high yield data since the late 1990s. Our analytical framework is a general equilibrium model with heterogeneous agents, incomplete markets, and endogenous collateral, plus an extension encompassing adverse selection.