Zeng Qingduo, Zhang Qiang, Liu Shancun, Yang Yaodong
School of Economics and Commerce, Guangdong University of Technology, Guangzhou, 510520 China.
School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029 China.
J Syst Sci Complex. 2022;35(5):1863-1874. doi: 10.1007/s11424-022-0299-1. Epub 2022 Aug 3.
This paper presents a rational expectation equilibrium model to explore how the financial contagion occurs between the unlinked markets that do not share common fundamentals. In the proposed model, the authors assume two of the three risky assets share no common fundamental factors, but are connected by one intermediate asset via cross fundamentals. Through this channel, investors transmit fundamental risk from one asset to another by dint of the cross fundamentals. This mechanism causes liquidity comovement and subsequently becomes a source of market crisis: Through the contagion mechanism, an initial liquidity shock in one asset can result in a drop tendency in liquidity and price informativeness for another asset. Such comovement in liquidity offers a new explanation for idiosyncratic assets in financial contagion.
本文提出了一个理性预期均衡模型，以探究在不共享共同基本面的非关联市场之间金融传染是如何发生的。在所提出的模型中，作者假设三种风险资产中的两种不共享共同基本面因素，但通过一种中间资产经由交叉基本面联系起来。通过这个渠道，投资者借助交叉基本面将基本面风险从一种资产传递到另一种资产。这种机制导致流动性联动，随后成为市场危机的一个根源：通过传染机制，一种资产最初的流动性冲击可能导致另一种资产的流动性和价格信息性出现下降趋势。这种流动性联动为金融传染中的特质资产提供了一种新解释。
