금융시장 충격 전염 이론에 관한 서베이 = Recent Theories Regarding Financial Contagion

다국어 초록 (Multilingual Abstract)

This paper introduces studies that have attempted to make theoretical explanations on financial market shocks and contagion effects and explores their implications. As mechanisms of shock contagion and amplification, we introduce theory models focusing on portfolio readjustment; the limitation on investors’ management and borrowing; changes in risk evading level, asymmetry and imperfection of information; debtor and creditor relations among banks; limited ability of investors in terms of collection and process of information; and homogenization of investor behavior. With these models, we try to identify mechanisms in the contagion of financial market shocks in recent times and explore their implications on policy alternatives.

국문 초록 (Abstract)

본고에서는 금융시장에서 충격(shock)의 전염현상(contagion)에 관하여 이론적 설명을시도한 연구를 소개하고 그 시사점을 살펴보도록 한다. 충격의 전염 및 증폭 메커니즘으로 포트폴리오의 재조정, 투자자의 운용·차입 등의 제약, 위험회피도의 변동, 정보의 비대칭성 및 불완전성, 금융기관간의 채권·채무의 연계, 투자자의 정보수집 및 처리능력의한계와 투자자 행동의 동질화 현상 등에 주목한 이론모형에 관하여 소개하는 한편 이를통해 최근 빈발하는 금융시장에서의 전염현상의 전염 메커니즘과 이에 대응한 효율적정책대안에 관한 시사점을 모색하였다.

참고문헌 (Reference)

1 Ashcraft, A. B., "Understanding the Securitization of Subprime Mortgage Credit" 2 : 191-309, 2008

2 Eisenberg, L., "Systemic Risk in Financial Systems" 47 : 236-249, 2001

3 Giesecke, K., "Systemic Risk : What Defaults Are Telling Us" 57 : 1387-1405, 2011

4 Sims, C. A., "Stickiness" 49 : 317-356, 1998

5 Arezki, R., "Sovereign Rating News and Financial Markets Spillovers : Evidence from the European Debt Crisis" CESifo Group Munich 2011

6 Calvo, G. A., "Rational Contagion and the Globalization of Securities Markets" 51 : 79-113, 2000

7 De Long, J. B., "Positive Feedback Investment Strategies and Destabilizing Rational Speculation" 45 : 379-395, 1990

8 Schinasi, G. J., "Portfolio Diversification, Leverage, and Financial Contagion" 47 : 159-176, 2000

9 Grossman, S. J., "On the Impossibility of Informationally Efficient Markets" 70 : 393-408, 1980

10 Rigobon, R., "News, Contagion and Anticipation" Mimeo 2008

11 Adrian, T., "Liquidity and Leverage" 19 : 418-437, 2010

12 Cifuentes, R., "Liquidity Risk and Contagion" 3 : 556-566, 2005

13 Borensztein, E., "Leaders and Followers : Emerging Market Fund Behavior During Tranquil and Turbulent Times" 4 : 25-38, 2003

14 Wolf, H., "International Asset Price and Capital Flow Comovements During Crisis: The Role of Contagion, Demonstration Effects and Fundamentals" Financial Crises and Policies 1999

15 Sims, C. A., "Implications of Rational Inattention" 50 : 665-690, 2003

16 Froot, Kenneth A., "Herd on the Street : Informational Inefficiencies in a Market with Short-term Speculation" 47 : 1461-1484, 1992

17 Allen, F., "Financial contagion" 108 : 1-33, 2000

18 Mendoza, E. G., "Financial Globalization, Financial Crises and Contagion" 57 : 24-39, 2010

19 Mondria, J., "Financial Contagion and Attention Allocation" 123 : 429-454, 2012

20 Shiller, Robert J., "Conversation, Information, and Herd Behavior" American Economic Association 85 : 181-185, 1995

21 Masson, P. R., "Contagion-Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria" International Monetary Fund 1998

22 Belke, A., "Contagion, Herding and Exchange-rate Instability—A Survey" 39 : 222-228, 2004

23 Goldstein, I., "Contagion of Self-fulfilling Financial Crises Due to Diversification of Investment Portfolios" 119 : 151-183, 2004

24 Kyle, A. S., "Contagion as a Wealth Effect" 56 : 1401-1440, 2001

25 Hwang, Inchang, "Contagion Effects of the U.S. Subprime Crisis on International Stock Markets" 2010

26 Dornbusch, R., "Contagion : Understanding How It Spreads" 15 : 177-197, 2000

27 Yuan, K., "Asymmetric Price Movements and Borrowing Constraints : A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion" 60 : 379-411, 2005

28 Bikhchandani, S., "A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades" 100 : 992-1026, 1992

29 Banerjee, A., "A Simple Model of Herd Behavior" 107 : 797-817, 1992

30 Admati, A. R., "A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Market" 53 : 629-657, 1985