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Understanding financial crises

Author: Allen, Franklin ; Gale, DouglasPublisher: Oxford University Press (OUP) 2007.Language: EnglishDescription: 303 p. : Graphs ; 24 cm.ISBN: 9780199251414Type of document: BookBibliography/Index: Includes bibliographical references and index
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Europe Campus
Main Collection
Print HG1616 .C7 A55 2007
(Browse shelf)
001250435
Available 001250435
Total holds: 0

Includes bibliographical references and index

Digitized

Understanding Financial Crises Contents 1. History and institutions 1.1 Introduction 1.2 Historical crises in Europe and the US 1.3 Crises and stock market crashes 1.4 Currency and twin crises 1.5 Crises in different eras 1.6 Some recent crises 1.6.1 The Scandinavian crises 1.6.2 Japan 1.6.3 The Asian crisis 1.6.4 The Russian crisis and long term capital management (LTCM) 1.6.5 The Argentina crisis of 2001-2002 1.7 The costs of crises 1.8 Theories of crises 1.9 Concluding remarks 2. Time, uncertainty, and liquidity 2.1 Efficient allocation over lime 2.1.1 Consumption and saving 2.1.2 Production 2.2 Uncertainty 2.2.1 Contingent commodities and risk sharing 2.2.2 Attitudes toward risk 2.2.3 Insurance and risk pooling 2.2.4 Portfolio choice 2.3 Liquidity 2.4 Concluding remarks 3. Intermediation and crises 3.1 The liquidity problem 3.2 Market equilibrium 3.3 The efficient solution 3.4 The banking solution 3.5 Bank runs 1 1 2 5 9 10 14 14 15 15 16 17 18 19 23 27 27 27 36 40 40 44 48 49 52 57 58 59 60 64 72 74 3.6 Equilibrium bank runs 3.7 The business cycle view of bank runs 3.8 The global games approach to finding a unique equilibrium 3.9 Literature review 3.10 Concluding remarks 4. Asset markets 4.1 Market participation 4.2 The model 4.3 Equilibrium 4.3.1 Market-clearing at date 1 4.3.2 Portfolio choice 4.4 Cash-in-the-market pricing 4.5 Limited participation 4.5.1 The model 4.5.2 Equilibrium 4.5.3 Equilibrium with full participation 4.5.4 Full participation and asset-price volatility 4.5.5 Limited participation and asset-price volatility 4.5.6 Multiple Pareto-ranked equilibria 4.6 Summary 5. Financial fragility 5.1 Markets, banks, and consumers 5.2 Types of equilibrium 5.2.1 Fundamental equilibrium with no aggregate uncertainty 5.2.2 Aggregate uncertainty 5.2.3 Sunspot equilibria 5.2.4 Idiosyncratic liquidity shocks for banks 5.2.5 Equilibrium without bankruptcy 5.2.6 Complete versus incomplete markets 5.3 Relation to the literature 5.4 Discussion 6. Intermediation and markets 6.1 Complete markets 6.2 Intermediation and markets 6.2.1 Efficient risk sharing 6.2.2 Equilibrium with complete financial markets 76 82 90 94 96 99 99 103 104 107 109 110 114 116 117 120 120 121 123 124 126 128 132 133 135 140 142 144 146 147 148 153 155 164 165 167 6.2.3 An alternative formulation of complete markets 6.2.4 The general case 6.2.5 Implementing the first best without complete markets 6.3 Incomplete contracts 6.3.1 Complete markets and aggregate risk 6.3.2 The intermediary's problem with incomplete markets 6.4 Conclusion 7. Optimal regulation 7.1 Capital regulation 7.1.1 Optimal capital structure 7.1.2 Models with aggregate uncertainty 7.2 Capital structure with complete markets 7.3 Regulating liquidity 7.3.1 Comparative statics 7.3.2 Too much or too little liquidity? 7.4 Literature review 7.5 Concluding remarks 8. Money and prices 8.1 An example 8.2 Optimal currency crises 8.3 Dollarization and incentives 8.4 Literature review 8.5 Concluding remarks 9. Bubbles and crises 9.1 Agency problems and positive bubbles 9.1.1 The risk-shifting problem 9.1.2 Credit and interest rate determination 9.1.3 Financial risk 9.1.4 Financial fragility 9.2 Banking crises and negative bubbles 9.2.1 The model 9.2.2 Optimal risk sharing 9.2.3 Optimal deposit contracts 9.2.4 An asset market 9.2.5 Optimal monetary policy 9.3 Concluding remarks 170 172 177 181 182 186 188 190 191 194 199 201 204 206 209 213 213 216 218 223 226 228 232 235 237 238 243 245 246 247 247 248 251 252 256 258 10. Contagion 10.1 Liquidity preference 10.2 Optimal risk sharing 10.3 Decentralization 10.4 Contagion 10.4.1 The liquidation "pecking order" 10.4.2 Liquidation values 10.4.3 Buffers and bank runs 10.4.4 Many regions 10.5 Robustness 10.6 Containment 10.7 Discussion 10.8 Applications 10.8.1 Upper and Worms (2004) 10.8.2 Degryse and Nguyen (2004) 10.8.3 Cifuentes, Ferrucci, and Shin (2005) 10.9 Literature review 10.10 Concluding remarks Index 260 263 266 268 274 275 276 277 280 280 281 282 284 284 290 291 293 295 299

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