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摘要翻译：
我们提出了一个分析模型来研究期望反馈和重叠投资组合对金融系统稳定性的作用。在[Corsi et al.，2016]的基础上，我们建立了一组具有风险资本要求的金融机构的模型，这些金融机构投资于一个风险资产组合，其价格随时间随机演化，并由金融机构的交易决策内生驱动。假设他们使用自适应风险期望，我们证明了系统的演化是由一个慢-快随机动力系统描述的，在某些情况下可以用解析的方法来研究。该模型显示了风险预期如何在决定金融体系的系统稳定性方面发挥核心作用，以及错误的风险预期如何可能导致恐慌性资产负债表缩减或过度乐观扩张。具体地说，当投资者对风险的估计短视时，系统的不动点均衡出现杠杆周期，金融变量出现分叉级联，最终导致混沌。我们讨论了金融政策的作用和一些市场摩擦的影响，如多样化成本和金融交易税，在存在适应性风险预期的情况下，在决定系统稳定性方面的作用。
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英文标题：
《When panic makes you blind: a chaotic route to systemic risk》
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作者：
Piero Mazzarisi, Fabrizio Lillo, Stefano Marmi
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最新提交年份：
2018
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分类信息：
一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Mathematics 数学
二级分类：Dynamical Systems 动力系统
分类描述：Dynamics of differential equations and flows, mechanics, classical few-body problems, iterations, complex dynamics, delayed differential equations
微分方程和流动的动力学，力学，经典的少体问题，迭代，复杂动力学，延迟微分方程
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk capital requirements and investing in a portfolio of risky assets, whose prices evolve stochastically in time and are endogenously driven by the trading decisions of financial institutions. Assuming that they use adaptive expectations of risk, we show that the evolution of the system is described by a slow-fast random dynamical system, which can be studied analytically in some regimes. The model shows how the risk expectations play a central role in determining the systemic stability of the financial system and how wrong risk expectations may create panic-induced reduction or over-optimistic expansion of balance sheets. Specifically, when investors are myopic in estimating the risk, the fixed point equilibrium of the system breaks into leverage cycles and financial variables display a bifurcation cascade eventually leading to chaos. We discuss the role of financial policy and the effects of some market frictions, as the cost of diversification and financial transaction taxes, in determining the stability of the system in the presence of adaptive expectations of risk.
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PDF链接：
https://arxiv.org/pdf/1805.00785
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