Title of article
Ambiguityshiftsandthe2007–2008financialcrisis
Author/Authors
Nina Boyarchenko، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
15
From page
493
To page
507
Abstract
Faced withdoubtsaboutthequalityofinformationandthequalityofmodeling
techniques,ambiguity-averseagentsassignhigherprobabilitiestolowerutilitystates,
leadingtohigherCDSpremiaandlowerequityprices.Usingdataonfinancial
institutions,Ifindthatthesuddenincreasesincreditspreadsduringtherecentcrisis
can beexplainedbychangesintheamountofambiguityfacedbymarketparticipants
and changesinhowthetotalamountofambiguitywasdistributedbetweenambiguity
aboutinformationqualityandambiguityaboutmodelquality
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846537
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