A Model of Capital and Crises
构建了一个动态一般均衡模型，其中金融中介的资本水平决定资产价格，低资本会降低风险承担能力，从而解释金融危机中夏普比率上升、波动率增加等现象。
We develop a model in which the capital of the intermediary sector plays a critical role in determining asset prices. The model is cast within a dynamic general equilibrium economy, and the role for intermediation is derived endogenously based on optimal contracting considerations. Low intermediary capital reduces the risk-bearing capacity of the marginal investor. We show how this force helps to explain patterns during financial crises. The model replicates the observed rise during crises in Sharpe ratios, conditional volatility, correlation in price movements of assets held by the intermediary sector, and fall in riskless interest rates.