A Rational Expectations Model of Financial Contagion
构建了一个多资产理性预期模型，解释投资者通过跨市场再平衡调整组合风险暴露，从而将特定市场冲击传染至其他市场，即使没有新闻或直接共同风险也能产生传染。
ABSTRACT We develop a multiple asset rational expectations model of asset prices to explain financial market contagion. Although the model allows contagion through several channels, our focus is on contagion through cross‐market rebalancing. Through this channel, investors transmit idiosyncratic shocks from one market to others by adjusting their portfolios' exposures to shared macroeconomic risks. The pattern and severity of financial contagion depends on markets' sensitivities to shared macroeconomic risk factors, and on the amount of information asymmetry in each market. The model can generate contagion in the absence of news, as well as between markets that do not directly share macroeconomic risks.