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Three essays on financial crises

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Rastapana, Songklod (2018) Three essays on financial crises. PhD thesis, University of Warwick.

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Official URL: http://webcat.warwick.ac.uk/record=b3217772~S15

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Abstract

This thesis analyses different aspects of financial crises with a focus on the role of pecuniary externalities.

The topics explored in these essays are as follows: Chapter 1 provides background on issues of illiquidity and insolvency, and discusses how the two can interact.

Chapter 2 studies pecuniary externalities in a `bank run' model where banks supply credit in the form of marketable securities. An aggregate liquidity shock, which triggers `fire sales' of such securities, can lead to insolvency when their value falls. So, in this type of model, a run on several banks can lead to insolvency driven pecuniary externalities.

Chapter 3 explores three explanations of the U.S. subprime crisis; insolvency due to externalities, insolvency due to cheating, and illiquidity driven by panic. We argue that these narratives should be treated as complements (rather than as substitutes), with each playing an important role at different stages of the crisis.

Chapter 4 studies the reversibility of shocks in a general equilibrium model of competitive markets with heterogeneous beliefs. I find that heterogeneous beliefs can amplify shocks; and, due to asymmetric adjustment of risky asset prices, they can also lead to systemic default when a group of optimistic agents exits the market.

Item Type: Thesis or Dissertation (PhD)
Subjects: H Social Sciences > HB Economic Theory
Library of Congress Subject Headings (LCSH): Financial crises, Externalities (Economics), Bankruptcy
Official Date: May 2018
Dates:
DateEvent
May 2018Submitted
Institution: University of Warwick
Theses Department: Department of Economics
Thesis Type: PhD
Publication Status: Unpublished
Supervisor(s)/Advisor: Polemarchakis, H. M. (Heraklis M.) ; Miller, Marcus, 1941- ; Kremer, Ilan
Sponsors: Thanākhān hǣng Prathēt Thai
Format of File: pdf
Extent: x, 143 leaves : illustrations, charts
Language: eng

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