This paper examines the relevance of sentiment in predicting overall financial system
instability using long-run short-term memory networks. Weekly data on the US financial …

We develop a model of informational interdependence between financial markets and the
real economy, linking economic uncertainty to information production and aggregate …

We develop a rational theory of liquidity sentiments in which the market outcome in any
given period depends on agents' expectations about market conditions in future periods. Our …

We extend a production-based asset pricing model by introducing learning about disaster
risk. The information is not perfect, and Bayesian learning is adopted to update beliefs about …

We develop a model of self-fulfilling default cycles with demand externality a la Dixit-Stiglitz
to explain the recurrent clustered defaults observed in the data. The literature reports that …

This paper establishes the existence of endogenous cycles in infinite-horizon open
economy models with a flow collateral constraint. It shows that for plausible parameter …

This study presents a novel investigation of the reciprocal relationship between financial
instability and climate risks, focusing on the influence of climate policy uncertainty within the …

Asymmetric information about both private valuations of assets and their quality gives rise to
uncertainty over sellers' motives of trade, allowing high-valuation holders of low-quality …

The supply and demand of credit are not always well aligned, as is reflected in the
countercyclical excess reserve-to-deposit ratio and interest spread between the lending rate …

Recessions are often accompanied by spikes of corporate default and credit spreads. This
paper develops a tractable macroeconomic model in which the credit spread reflects the …