Lending to Sovereign Borrowers: Snapshots of the Eurocurrency Market Using a Thomian Camera
结合实证与理论分析，研究世界债务危机前欧洲货币市场对多国借款人的利差，发现Fisher四次指数分布能很好拟合利差数据，并基于突变理论构建了放贷模型。
Blending empirical and theoretical analyses, the terms (spreads) granted by the Eurocurrency market to borrowers of several countries prior to the world debt crisis are examined. Specifically, a section examines the spreads over the London interbank offer rate charged to public and private entities of 6 countries. The samples are cross-sectional observations taken over a short time period, usually a year. Although the histograms of the spreads are found to exhibit a variety of shapes, a single distribution, Fisher's (1922) quartic exponential, is shown to fit all the samples rather well. A model of lending, whose implied distribution of the spreads is precisely the quartic exponential, is then offered. The model, which makes use of Catastrophe theory, also illustrates how optimizing behavior can lead to surfaces of optimal responses that exhibit elementary catastrophes.