Collective Risk Management in a Flight to Quality Episode
构建了一个包含奈特不确定性的危机与央行政策模型，解释了危机中资本不流动、风险规避和流动性囤积等规律，并分析了最后贷款人政策的社会收益。
ABSTRACT Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs. The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. We present a model of crises and central bank policy that incorporates Knightian uncertainty. The model explains crisis regularities such as market‐wide capital immobility, agents' disengagement from risk, and liquidity hoarding. We identify a social cost of these behaviors, and a benefit of a lender of last resort facility. The benefit is particularly high because public and private insurance are complements during uncertainty‐driven crises.