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Replication data for: Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

Version
V0
Resource Type
Dataset
Creator
  • Gârleanu, Nicolae
  • Panageas, Stavros
  • Yu, Jianfeng
Publication Date
2015-07-01
Description
  • Abstract

    We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Due to a complementarity between participation and leverage decisions, the equilibrium may exhibit diverse leverage and participation choices across investors, although investors are ex ante identical. Small changes in market-access costs can cause a change in the type of equilibrium, leading to discontinuous price changes, deleveraging, and portfolio-flow reversals. Moreover, the market is subject to contagion—an adverse shock to investors in some locations affects prices everywhere. (JEL D83, G11, G12, G32, G35)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/aer.20131076 (Text)
Publications
  • Gârleanu, Nicolae, Stavros Panageas, and Jianfeng Yu. “Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion.” American Economic Review 105, no. 7 (July 2015): 1979–2010. https://doi.org/10.1257/aer.20131076.
    • ID: 10.1257/aer.20131076 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Gârleanu, Nicolae; Panageas, Stavros; Yu, Jianfeng (2015): Replication data for: Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112947