Financial Contagion Analysis with Information Disclosed by Stages
Read
DownLoad |
| Title | Financial Contagion Analysis with Information Disclosed by Stages
|
| Author | Yan Gao, Xinyu Zhang, Ke Cheng, Xiaoguang Yang and Guohua Zou |
| Organization | Academy of Mathematics and Systems Science, Chinese Academy of Sciences |
| Email | gaoyan@amss.ac.cn；xinyu@amss.ac.cn；wilsonnfls@gmail.com；xgyang@iss.ac.cn；ghzou@amss.ac.cn |
| Key Words | Financial Contagion; Information Disclosure by Stages; Information Correlation |
| Abstract | 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 correlated the information between markets are, the more serious the contagion will be. |
| Serial Number | WP402 |
| Time | 2012-12-07 |
|