| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8714 |
| DP8714 Scattered Trust - Did the 2007-08 financial crisis change risk perceptions? | |
| Thomas Gehrig; Roland Füss; Philipp B Rindler | |
| 发表日期 | 2011-12-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | The paper investigates whether the financial crisis did affect risk perceptions, and, hence, change structural parameters. By decomposing credit spreads of US corporate bonds into the contributions by credit, equity, and liquidity risk factors as well as structural change, the relative contribution of the change in risk perceptions can be measured. We show that this increase is mostly due to aversion to default risk for high-yield bonds. For low-yield bonds, the increase is mostly due to liquidity related factors. By means of counterfactual analysis we find that the financial crisis shifted the distribution of bond spreads almost uniformly. This evidence is consistent with changing risk perceptions as predicted by theories of ambiguity aversion or social learning in the case of rare events. |
| 主题 | Financial Economics |
| 关键词 | Credit spreads Structural models Quantile regression Counterfactual analysis ambiguity aversion |
| URL | https://cepr.org/publications/dp8714 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537549 |
| 推荐引用方式 GB/T 7714 | Thomas Gehrig,Roland Füss,Philipp B Rindler. DP8714 Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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