Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion
提出一个统一模型，解释有限市场一体化、资产价格决定、杠杆和传染现象。投资者因参与成本不同而出现杠杆和参与选择的多样性，市场准入成本的小变化可导致均衡类型转变，引发价格跳跃、去杠杆和资金流逆转，且市场存在传染效应。
We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Due to a complementarity between participation and leverage decisions, the equilibrium may exhibit diverse leverage and participation choices across investors, although investors are ex ante identical. Small changes in market-access costs can cause a change in the type of equilibrium, leading to discontinuous price changes, deleveraging, and portfolio-flow reversals. Moreover, the market is subject to contagion—an adverse shock to investors in some locations affects prices everywhere.