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1、CHAPTER8ASIMPLETHEORYOFTHEFINANCIALCRISIS;OR,WHYFISCHERBLACKSTILLMATTERS∗TylerCowenThekeyquestionaboutthecurrentfinancialcrisisishowsomanyinvestorscouldhavemispricedriskinthesamewayandatthesametime.ThisarticlelooksattheworkofFischerBlackforinsightintothisprob
2、lem.Inparticular,Blackconsideredwhythe“lawoflargenumbers”doesnotalwaysapplytoexpectationsinamarketsetting.Black’shypothesisthatafinancialcrisiscanarisefromextremebadluckismoreplausiblethanisusuallyrealized.Inthisview,suchfactorsastherealestatemarketareofsecon
3、daryimportanceforunderstandingtheeconomiccrisis,andthefinancialsideofthecrisismayhaverootsintherealeconomyasawhole.NourielRoubini(Dr.Doom)andthelateHymanMinskyareoftenheraldedastheeco-nomicprophetsofthecurrentfinancialcrisis.Buttherearealsoconnectionsbetweenre
4、centeventsandtheworkofFischerBlack(19381995).Bestknownforhisseminalworkinoption-pricingtheory,Blackalsowroteextensivelyonmonetaryeconomicsandbusinesscycles.Anenigmaticthinker,Blacksometimeswroteinepigramsorbriefsentencesanddidnotpresenthismacroeconomicviewsi
5、ntermsofaformalmodel.Forthatreason,interpretingBlackisnotalwayseasy.Nonetheless,Blackswritingsofferideasforexplainingthecurrentcrisis,mostnotablytheideathatageneralriskreturntrade-offgovernsbusinesscycles.Blackalsostressednoisetraders,T-billsasthenewformofca
6、sh,theinabilityofmonetarypolicytoaddressmanydownturns,andthenotionthatabusinesscycleischaracterizedbysignifi-cantsectoralshifts.∗ReprintedfromtheFinancialAnalystsJournal(May/June2009):1720.133CH008.indd1338/28/108:20:43PM134PartI:Overview—2000–PresentPublishe
7、din1995,BlacksExploringGeneralEquilibriumstartswiththeideathatentrepreneurschooseapreferredlevelofrisk.Ofcourse,choosingahigherlevelofriskinvolveshigherexpectedreturnsbutalsoacorrespondinglygreaterriskofcollapse.Thatisacommonassumptionaboutindividualentrepre
8、neurs,butBlacksinnovationwastoinsistthatsuchreasoningcouldbeappliedtotheeconomyasawhole.Blacksaccountofthebusinesscycledownturnrequiredmanydifferenteconomicsec-torstogowrongallatonce,throughwide
