Dissecting Mechanisms of Financial Crises: Intermediation and Sentiment
构建了一个包含金融放大机制和情绪作用的模型，解释了危机前资产泡沫、危机爆发及缓慢复苏的完整周期，对研究金融危机的学者有参考价值。
We develop a model of financial crises with both a financial amplification mechanism, via frictional intermediation, and a role for sentiment, via time-varying beliefs about an illiquidity state. The model accounts for the entire crisis cycle, matching data on the frothy precrisis behavior of asset markets and credit; the sharp transition to a crisis where asset values fall, disintermediation occurs, and output falls; and the slow postcrisis recovery in output. Both the intermediation and the belief mechanism are essential to match the crisis cycle. However, modeling the belief variation via either a Bayesian or a diagnostic model can match the broad patterns.