Financial constraints, endogenous markups, and self-fulfilling equilibria
In: Journal of Monetary Economics, Band 60, Heft 7, S. 789-805
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In: Journal of Monetary Economics, Band 60, Heft 7, S. 789-805
In: NBER Working Paper No. w18074
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In: Journal of economic dynamics & control, Band 25, Heft 8, S. 1221-1240
ISSN: 0165-1889
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In: Journal of economic dynamics & control, Band 73, S. 18-40
ISSN: 0165-1889
In: Foreign affairs: an American quarterly review, Band 72, Heft 3, S. 218
ISSN: 2327-7793
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Working paper
In: Alexander K Zentefis, Self-Fulfilling Asset Prices, The Review of Asset Pricing Studies, Volume 12, Issue 4, December 2022, Pages 886–917, https://doi.org/10.1093/rapstu/raac008
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In: American economic review, Band 102, Heft 7, S. 3674-3700
ISSN: 1944-7981
Recent crises have seen large spikes in asset price risk. We propose an explanation for such panics based on self-fulfilling shifts in beliefs about risk. A negative link between the current level and the future risk of an asset price leads to a circular relationship between the stochastic process of asset price risk and the price itself. Self-fulfilling shifts in perceived risk can be coordinated around a pure sunspot or around a macro fundamental. In a risk panic, a macro fundamental can be a focal point that affects both the magnitude of the panic and subsequent shifts in perceived risk.
In: The journal of business, Band 77, Heft 4, S. 895-908
ISSN: 1537-5374
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In: Journal of international economics, Band 50, Heft 1, S. 245-268
ISSN: 0022-1996
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 28/2010
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