Booms, Busts, and Common Risk Exposures
构建了一个动态一般均衡模型，研究银行资产共同性如何随商业周期内生变化并塑造系统性风险，发现系统性金融危机在信贷繁荣末期爆发，此时银行多样化激励强、投资组合高度相关。
ABSTRACT I present a dynamic general equilibrium model in which commonality in bank assets endogenously changes over the business cycle and shapes systemic risk. To reduce individual risks, banks diversify, increasing portfolio overlap and hence the similarity of their exposures to fundamental shocks. Systemic financial crises burst at the end of credit booms when productive investment opportunities are exhausted, banks' diversification incentives are strong, and their portfolios are highly correlated. A calibrated model is able to match key moments related to frequency, severity, and the economy's behavior around systemic crises.