Flight to quality and collective risk management by Ricardo J. Caballero

Cover of: Flight to quality and collective risk management | Ricardo J. Caballero

Published by National Bureau of Economic Research in Cambridge, Mass .

Written in English

Read online

Subjects:

  • Risk management,
  • Finance -- Econometric models

Edition Notes

Book details

StatementRicardo J. Caballero, Arvind Krishnamurthy.
SeriesNBER working paper series -- no. 12136., Working paper series (National Bureau of Economic Research) -- working paper no. 12136.
ContributionsKrishnamurthy, Arvind., National Bureau of Economic Research.
The Physical Object
Pagination32 p. ;
Number of Pages32
ID Numbers
Open LibraryOL17629717M
OCLC/WorldCa66286395

Download Flight to quality and collective risk management

Flight to Quality and Collective Risk Management Ricardo J. Caballero, Arvind Krishnamurthy. NBER Working Paper No. Issued in April NBER Program(s):Corporate Finance, Economic Fluctuations and Growth, International Finance and Macroeconomics, Monetary Economics We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty Cited by: 8.

Get this from a library. Flight to quality and collective risk management. [Ricardo J Caballero; Arvind Krishnamurthy; National Bureau of Economic Research.].

Get this from a library. Flight to quality and collective risk management. [Ricardo J Caballero; Arvind Krishnamurthy; National Bureau of Economic Research.] -- Abstract: We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty surrounding these episodes.

Agents make risk management decisions with. Books to Borrow. Top American Libraries Canadian Libraries Universal Library Community Texts Project Gutenberg Biodiversity Heritage Library Children's Library.

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Second,the"risk"isodesaretriggeredbyanunexpected allof   Vineet Bhagwat, David Lucca, and Alp Simsek provided excellent research assistance. Caballero thanks the NSF for financial support. This paper covers the same substantive issues as (and hence replaces) “Flight to Quality and Collective Risk Management,” NBER WP # Search for more papers by this author.

Flight to Quality and Collective Risk Management Ricardo J. Caballero Arvind Krishnamurthy∗ This draft: Ma Abstract We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty surrounding these episodes. Agents make risk management decisions with incomplete knowl-edge.

A flight-to-quality, or flight-to-safety, is a financial market phenomenon occurring when investors sell what they perceive to be higher-risk investments and purchase safer investments, such as gold and other precious metals.

This is considered a sign of fear in the marketplace, as investors seek less risk in exchange for lower profits. Flight-to-quality is usually accompanied by an increase. Collective Risk Management in a Flight to Quality Episode (Forthcoming: Journal of Finance) RICARDO J.

CABALLERO and ARVIND KRISHNAMURTHY∗ August 6, Abstract Severe flight to qualityepisodes involveuncertaintyabout theenvironment and not only risk about asset payoffs. The uncertainty is triggered by unusual events and untested.

Flight to Quality and Collective Risk Management. MIT Department of Economics Working Paper No. Number of pages: 33 Posted: 23 Mar Caballero, Ricardo J.

and Krishnamurthy, Arvind, Flight to Quality and Collective Risk Management (Ma ). MIT Department of Economics Working Paper No. Available at SSRN. Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs.

The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. Collective Risk Management in a Flight to Quality Episode Article in The Journal of Finance 63(5) February with Reads How we measure 'reads'.

CollectiveRiskManagementinaFlighttoQuality Episode ero ArvindKrishnamurthy* January29, Abstract. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty surrounding these episodes.

Agents make risk management decisions with incomplete knowl-edge. They understand their own shocks, but are uncertain of how correlated their shocks are with systemwide shocks. Collective Risk Management in a Flight to Quality Episode Ricardo J.

Caballero Arvind Krishnamurthy∗ Abstract We present a model of optimal intervention in a flight to quality episode. Agents in the model make risk management decisions with incomplete knowledge.

They un. Collective Risk Management in a Flight to Quality Episode by Ricardo Caballero and Arvind Krishnamurthy Discussed by Urban Jermann Discussed by Urban Jermann 1 / Contribution To build a model where Knightian uncertainty generates a "Flight to Quality" and a role for central bank intervention I Novel mechanism that looks like ⁄ight to.

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Collective Risk Management in a Flight to Quality Episode NBER Working Paper No. w Number of pages: 37 Posted: 17 Feb Last Revised: 28 Sep Flight to Quality and Collective Risk Management.

By Ricardo J. Caballero Arvind Krishnamurthy. Abstract. We present a model of flight to quality episodes that emphasizes systemic risk and the Knightian uncertainty surrounding these episodes. Agents make risk management decisions with incomplete knowl-edge. They understand their own shocks. We present a model of optimal intervention in a flight to quality episode.

The reason for intervention stems from a collective bias in agents' expectations. Agents in the model make risk management decisions with incomplete knowledge. They understand their own shocks, but are uncertain of how correlated their shocks are with systemwide shocks, treating the latter uncertainty as Knightian.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Simsek provided excellent research assistance. Caballero thanks the NSF for financial support. This paper covers the same substantive issues as (and hence replaces) “Financial System Risk and Flight to Quality,” NBER WP # () with a simpler but more abstract model.

Downloadable. Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs.

The uncertainty is triggered by unusual events and untested financial innovations that lead agents to question their worldview. We present a model of crises and central bank policy that incorporates Knightian uncertainty. Downloadable. We present a model of optimal intervention in a flight to quality episode.

The reason for intervention stems from a collective bias in agents' expectations. Agents in the model make risk management decisions with incomplete knowledge. They understand their own shocks, but are uncertain of how correlated their shocks are with systemwide shocks, treating the latter uncertainty as.

Collective Risk Management in a Flight to Quality Episode. Ricardo Caballero and Arvind Krishnamurthy. Journal of Finance,vol. 63, issue 5, Abstract: Severe flight to quality episodes involve uncertainty about the environment, not only risk about asset payoffs.

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