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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
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: |
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| 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| Publication Status: | Unpublished | ||||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: | |||||
| Extent: | x, 143 leaves : illustrations, charts | ||||
| Language: | eng |
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