投资者心理与信贷周期（Investor Psychology and Credit Cycles）
文件大小：未知
级别评定：
添加时间：2015-11-07 14:09:10
最后更新：2015-11-07 14:26:59
下载积分：0分 （只有会员文件下载时才需要相应积分验证）
总浏览：
总下载：8
发布人：george15135
- 如果您发现该资源不能下载，请在本站论坛提出，管理员会及时处理。
- 未经本站明确许可，任何网站不得非法盗链及抄袭本站资源。
- 本站资源均为网友提供交流，仅供教学、研究使用，请下载后24小时内自行删除。
资源简介
Investor Psychology and Credit Cycles
Pedro Bordalo, Nicola Gennaioli, Andrei Shleifer
October 2015
Abstract
We present a model of credit cycles based on a new psychological formulation of the expectations mechanism. Agents form “stereotypical” expectations whereby they over-weight, in their belief revisions, the future outcomes that have become more likely in light of incoming data. This model of context dependent beliefs is based on a formalization of Kahneman and Tversky’s representativeness heuristic that has been previously used to explain a substantial amount of experimental evidence in psychology as well as the social phenomenon of stereotyping. Beliefs in this formulation are forward looking, immune to the Lucas critique, and contain rational expectations as a special case. Beliefs exhibit excess volatility, over-reaction to news, and systematic reversals. These dynamics account for many recently documented features of credit cycles and macroeconomic volatility without resort to financial frictions. In particular, they generate systematic reversion of a financial boom into a bust in the absence of deteriorating fundamentals.
