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1、CHAPTER18Bubbles,FinancialCrises,andSystemicRisk*MarkusK.BrunnermeieraandMartinOehmkebaDepartmentofEconomics,PrincetonUniversity,BendheimCenterforFinance,26ProspectAvenue,Princeton,NJ08540,USAbColumbiaBusinessSchool,420UrisHall,3022Broadway,NewYork,NY10027,USAContents1.Introduction12222.ABriefHist
2、oricalOverviewofBubblesandCrises12253.Bubbles12293.1RationalBubbleswithoutFrictions12313.2OLGFrictionsandMarketIncompleteness12333.3InformationalFrictions12363.4DelegatedInvestmentandCreditBubbles12383.5Heterogeneous-BeliefsBubbles12393.6EmpiricalEvidenceonBubbles12423.7ExperimentalEvidenceonBubbl
3、es12434.Crises12454.1Counterparty/BankRuns12474.1.1BankRunsasaSunspotPhenomenon12484.1.2Information-InducedBankRuns12504.2Collateral/MarginRuns12534.2.1LossSpiral12544.2.2Margin/HaircutorLeverageSpiral12574.2.3ContagionandFlighttoSafety12604.3Lenders’orBorrowers’Friction?12614.4NetworkExternalitie
4、s12644.5FeedbackEffectsBetweenFinancialSectorRiskandSovereignRisk12685.MeasuringSystemicRisk12715.1SystemicRiskMeasures12715.2DataCollectionandMacroModeling12735.3ChallengesinEstimatingSystemicRiskMeasures12755.4SomeSpecificMeasuresofSystemicRisk12776.Conclusion1280References1281*WearegratefultoPa
5、trickCheridito,ThomasEisenbach,StephenMorris,DelwinOlivan,RenéStulz,DimitriVayanos,andEugeneWhiteforhelpfulcommentsonearlierdraftsofthischapter.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00018-4Allrightsreserved.12211222MarkusK.BrunnermeierandMarti
6、nOehmke1.INTRODUCTIONBubbles,crashes,andfinancialcriseshavebeenrecurringphenomenainfinancialmarketsfromtheearlydaysuptothemodernage.Thischaptersurveysandlinkstheliteratureonbubbles,financialcrises,andsystemicrisk.Theoverarchingstructureofthischapterarisesfromdistinguishingtwophasesthatplayaroleina
7、lmostallfinancialcrises:(i)arun-upphase,inwhichbubblesandimbalancesform,and(ii)acrisisphase,duringwhichtheriskthathasbuiltupinthebackgroundmaterializesandthecrisiserupts.Toilluminatetherun-upphase,oursurveydrawso
