摘要
信息披露在金融危机传染过程中至关重要,许多学者基于资产定价的理性预期模型研究了信息的一次性披露对危机传染的影响.然而,现实的金融市场中信息通常是逐渐披露的.本文在信息逐渐披露的情况下利用理性预期模型分析了各期信息披露程度、两期信息相关程度对传染的影响.本文的数值模拟显示,信息分期披露加剧市场间传染;若信息分期披露,信息在产生早期时的披露越多传染越严重;被传染市场不同时间内的信息相关程度越大传染越严重.
Information disclosure is very important in financial crisis contagion. Based on the rational expectations model of asset pricing,many scholars have studied the impact of one-time information disclosure on contagion. Considering that information is always disclosed by stages,we develop a 3-period model to analyze the impacts of information disclosure level and information correlation between periods of contagion. The numerical simulation shows that i) gradual disclosure can aggravate contagion,and ii) when information is disclosed by stages,the more the information of period 0 is disclosed or the more the information correlation between periods is,the more serious the contagion will be.
出处
《管理科学学报》
CSSCI
北大核心
2014年第3期3-14,共12页
Journal of Management Sciences in China
基金
国家自然科学基金重点资助项目(70933003)
国家自然科学基金应急研究项目(71241015)
关键词
金融传染
信息分期披露
信息相关程度
financial contagion
information disclosure by stages
information correlation
